most citedUniversal, Continuous-Discrete Nonlinear Yau Filtering I: Affine, Linear State Model with State-Independent Diffusion Matrix

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physics.data-an2008★ 1 cited

Universal, Continuous-Discrete Nonlinear Yau Filtering I: Affine, Linear State Model with State-Independent Diffusion Matrix

Bhashyam Balaji

The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). In this paper, it…