Nonlinear Analysis: Hybrid Systems | 2019
The Kalman filter on stochastic time scales
Abstract
Abstract In this paper, we discretize a stochastic linear time-invariant system to a dynamic system on a time scale. We then develop a Kalman filter to estimate the true state for the corresponding system. Here, the measurement-update and time-update equations account for the size of the time step when the time scale is generated randomly. Numerical examples are also provided.