非线性随机离散系统状态估值问题的测度变换

Measure Transformation for State Estimation Problem of Nonlinear Discrete-time Stochastic Systems

本文讨论非线性随机离散系统状态估值问题的测度变换，推得系统的状态对于观测的条件分布律．当状态过程具有马氏性时，还给出滤波的条件分布律的递推格式．

in this paper, measure transformation for the state estimation problem of nonlinear discrete--time stochastic systems is discussed. We obtain an explicit formulae for the conditional distribution laws of the state of the dynamical system with respect to the observed data. When the state process has the Markov property,the recursive formulae for the conditional distribution laws of the filtering are gived.