An exact expression for the unnormalized conditional density is derived for certain nonlinear estimation problems. The basic method is to solve the Zakai equation using separation of variables. This new filter is a generalization of the Kalman-Bucy filter, the Benes filter and other nonlinear filters within a unified framework.
No takes yet. Share an insight, caveat, or question.
Fred Daum (1987) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: