Accession Number : AD0434872

Title :   ON THE PARTIAL DIFFERENTIAL EQUATION FOR THE CONDITIONAL PROBABILITY DISTRIBUTION FOR NONLINEAR DYNAMIC SYSTEMS WITH NOISY MEASUREMENTS,

Corporate Author : HARVARD UNIV CAMBRIDGE MASS CRUFT LAB

Personal Author(s) : Kashyap,R. L.

Report Date : 02 DEC 1963

Pagination or Media Count : 20

Abstract : The partial integro-differential equation is derived for the conditional probability density distribution of the output of a nonlinear system excited by nonadditive white Gaussian noise, with nonlinear measurements corrupted by white Gaussian noise. This equation reduces to the well-known Kolmogoroff forward equation when there are no measurements. The usefulness of the differential equation is demonstrated by deriving from it, for linear systems, the Wiener-Kalman filter. (Author)

Descriptors :   (*STOCHASTIC PROCESSES, PARTIAL DIFFERENTIAL EQUATIONS), PROBABILITY, STATISTICAL DISTRIBUTIONS, NONLINEAR SYSTEMS

Distribution Statement : APPROVED FOR PUBLIC RELEASE