Summary
The application of martingale theory to filtering problems for linear systems, excited by Poisson white noise but with Gaussian observation noise, is described. Stochastic differential equations for the conditional density function and moments are derived, and two approximate methods for solving these equations are developed. Numerical results are presented. Preliminary results are given for the smoothing problem, and for filtering problems for distributed parameter systems excited by Poisson white noise.
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Kwakernaak, H. (1975). Filtering for Systems Excited by Poisson White Noise. In: Bensoussan, A., Lions, J.L. (eds) Control Theory, Numerical Methods and Computer Systems Modelling. Lecture Notes in Economics and Mathematical Systems, vol 107. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46317-4_34
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DOI: https://doi.org/10.1007/978-3-642-46317-4_34
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