Filtering for a signal given by a linear stochastic retarded differential equation

[摘要] A filtering of Kalman-Bucy type is derived for a signal governed by a linear retarded stochastic differential equation, given a noisy observation process linearly related to the section of the signal. A Volterra type integral equation is obtained for a ''general tracking error.'' (C) 1997 Academic Press.

[发布日期] 1997-08-01