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The continuous kalman filter as the limit of the discrete kalman filter

 

作者: Scott Shald,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1999）
卷期: Volume 17, issue 5  

页码: 841-856

 

ISSN:0736-2994

 

年代: 1999

 

DOI:10.1080/07362999908809638

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper we present a rigorous proof of the commonly held belief that the continuous time Kalman filter equations can be obtained as the limit of the discrete time Kalman filter equations. This is done by creating a uniformly integrable martingale using the discrete filter and showing that its limit, is the continuous filter

 

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