Kalman-Bucy filter

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The Kalman-Bucy filter ^{[1] [2]} is a continuous time version of the Kalman filter.

[edit] References

1. ^ Bucy, R.S. and Joseph, P.D., Filtering for Stochastic Processes with Applications to Guidance, John Wiley & Sons, 1968; 2nd Edition, AMS Chelsea Publ., 2005. ISBN 0821837826
2. ^ Jazwinski, Andrew H., Stochastic processes and filtering theory, Academic Press, New York, 1970. ISBN 0123815509

[edit] See also

• Data assimilation
• Kalman filter
• Stochastic differential equations
• Wiener filter