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SIAMCO
2002

Filtering of Nonlinear Stochastic Feedback Systems

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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.
Francesco Carravetta, Alfredo Germani, Robert Sh.
Added 23 Dec 2010
Updated 23 Dec 2010
Type Journal
Year 2002
Where SIAMCO
Authors Francesco Carravetta, Alfredo Germani, Robert Sh. Liptser, Costanzo Manes
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