Filtering of Nonlinear Stochastic Feedback Systems

This paper concerns the filtering problem for a class of stochastic nonlinear systems where the drift term may depend either on some external function (open-loop system) or on the system output (closed-loop system), through a controller. Such systems are denoted feedback systems. The following result is proven: for feedback systems, the optimal filter in the open-loop case remains optimal when the feedback is closed.

• Type: Journal
• Year: 2002
• Where: SIAMCO
• Authors: Francesco Carravetta, Alfredo Germani, Robert Sh. Liptser, Costanzo Manes
• Keywords: Feedback Systems, Filtering Problem, SIAMCO 2002, Stochastic Nonlinear Systems