A martingale approach to state estimation in delay-differential systems |
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| Authors: | Arunabha Bagchi |
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| Institution: | Department of Applied Mathematics, Twente University of Technology, P.O. Box 217, Enschede, The Netherlands |
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| Abstract: | A rigorous derivation of filtering arid smoothing equations for linear stochastic systems with time delay is presented. The estimation equations are obtained in term of the innovation process of the problem under consideration. The method used is based on a representation theorem on Gaussian martingales. |
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