Solution of Filtering Problem with Nonlinear Observations

For all known finite-dimensional filters, one always needs the conditon that the observation terms are degree one polynomial. On the other hand, in many practical examples, e.g., tracking problem, the observation terms may be nonlinear. Our new method in this paper can treat filtering problems with nonlinear observation terms in the first time, which includes Kalman--Bucy filter as a special case.

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