Titlebook: Mathematics of Kalman-Bucy Filtering; Peter A. Ruymgaart,Tsu T. Soong Textbook 1988Latest edition Springer-Verlag Berlin Heidelberg 1988 E

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0720-678X corrections which escaped our scrutiny at the time of the first printing, and to generally improve and tighten our presentation of the material. Many of these changes were suggested to us by colleagues and readers and their kindness in doing so is greatly appreciated. Delft, The Netherlands and P. A

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The Stochastic Dynamic System,ed by random noise. The Kalman-Bucy filter, being an algorithm for computing estimates of the state vector, deals with a . dynamic system driven by forces whose random components are modeled by Brownian motion. In this chapter we are concerned with this system. Since only a sample of the stochastic

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A Theorem by Liptser and Shiryayev,rse is the fact that success of the filter depends on the contamination of observation by white noise, much like dimming the light to see more clearly. The purpose of this short chapter is to shed some light on this self-contradictory phenomenon through a theorem by Liptser and Shiryayev.

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large number of high bandwidth information channels. However, although these techniques possess great potential their development depends critically on the nonlinear optical effects used and on the availability of nonlinear optical materials that work at high speed and low incident optical power. A