Nonlinear Filtering: Is there a workable implementation of the Zakai equation?

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Elias Andreadakis

High Rami,

I have been in the past interested in Zakai's college Jakov Snyders work relating to Yovits & Jackson formula Extension. I don't know this particular equation but I guess it must be in the same context. Can you provide me with more information ? Best regards: Elias - Athens / Greece

Rami S. Mangoubi

Thank you ELias.

For the Kushner and Zakai equations, see Vincent Poor, Signal Detection and Estimation, the last chapter. THese equation give pde's for the evolution of the a posteriori pdf of the state of a nonlinear system with nonlinear observations.

These are generalizations of the Kaman BUcy filter. The Zakai equation is very elegant, bilinear. It is given in continuous time.

Rather than use the EKF, or the Unscented, Kalman Filters, why not solve the Zakai equation? Rami