Signal estimation | Stochastic differential equations

Zakai equation

In filtering theory the Zakai equation is a linear stochastic partial differential equation for the un-normalized density of a hidden state. In contrast, the Kushner equation gives a non-linear stochastic partial differential equation for the normalized density of the hidden state. In principle either approach allows one to estimate a quantity function (the state of a dynamical system) from noisy measurements, even when the system is non-linear (thus generalizing the earlier results of Wiener and Kalman for linear systems and solving a central problem in estimation theory). The application of this approach to a specific engineering situation may be problematic however, as these equations are quite complex. The Zakai equation is a bilinear stochastic partial differential equation. It was named after Moshe Zakai. (Wikipedia).

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Related pages

Estimation theory | Wiener process | Dynamical system | Kalman filter | Kushner equation | Filtering problem (stochastic processes) | Moshe Zakai | Stochastic partial differential equation | Wiener filter