Zakai equation

From Wikipedia, the free encyclopedia

The introduction to this article provides insufficient context for those unfamiliar with the subject. Please help improve the article with a good introductory style.

The Zakai equation is a linear recursive filtering equation for the un-normalized density of a hidden state. In contrast, the Kushner equation gives a non-linear recursive equation for the normalized density of the hidden state.

[edit] See also

• Kalman filter

[edit] References

• Zakai, M. (1969), On the optimal filtering of diffusion processes. Zeit. Wahrsch. 11 230–243. MR242552 Zbl 0164.19201 DOI 10.1007/BF00536382