The Kalman-Bucy Filter for Linear Stochastic Dynamic Systems with Discontinuous Trajectories

  • Authors:

  • V. Yu. Bereza;V. K. Yasinskii

  • Affiliations:

  • Yu. Fed'kovych National University, Chernivtsi, Ukraine bereza@chv.ukrpack.net;Yu. Fed'kovych National University, Chernivtsi, Ukraine yasik@cv.ukrtcl.net

  • Venue:
  • Cybernetics and Systems Analysis
  • Year:
  • 2003

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Abstract

An optimal linear filtration problem is considered in the paper based on Kalman-Bucy results. The sequential linear regression method being a modification of fundamental Wiener results is used.