Signal estimation | Nonlinear filters

Kushner equation

In filtering theory the Kushner equation (after Harold Kushner) is an equation for the conditional probability density of the state of a stochastic non-linear dynamical system, given noisy measurements of the state. It therefore provides the solution of the nonlinear filtering problem in estimation theory. The equation is sometimes referred to as the Stratonovich–Kushner (or Kushner–Stratonovich) equation. However, the correct equation in terms of Itō calculus was first derived by Kushner although a more heuristic Stratonovich version of it appeared already in Stratonovich's works in late fifties. However, the derivation in terms of Itō calculus is due to Richard Bucy. (Wikipedia).

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Estimation theory | Wiener process | Probability density function | Nonlinear filter | Dynamical system | Filtering problem (stochastic processes) | Conditional probability | Innovation (signal processing) | Zakai equation | Stochastic process