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A new martingale approach to Kalman filtering |
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| Authors: | Arunabha Bagchi |
| Affiliation: | Department of Applied Mathematics, Twente University of Technology, Enschede, Postbus 217, The Netherlands |
| Abstract: | A new derivation of continuous-time Kalman Filter equations is presented. The underlying idea has been previously used to derive the smoothing equations. A unified approach to filtering and smoothing problems has thus been achieved. |
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