Stratonovich–Kalman–Bucy filter

Definition: The Stratonovich-Kalman-Bucy filter (SKB filter) is a variant of the Kalman filter that is used for estimating the state of a dynamic system in the presence of both process and measurement noise. The SKB filter extends the Kalman filter to systems with nonlinear dynamics by incorporating the concepts of the Stratonovich calculus. The Stratonovich calculus provides a way to handle stochastic differential equations with multiplicative noise, where the noise term is multiplied by the derivative of the state variables.

Category: Math

Related terms: Kalman Filter

Abbreviation or symbol: SKB Filter

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References:

http://dx.doi.org/10.2139/ssrn.2594333

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