Filtering of Stochastic Systems

Jan H. van Schuppen*

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific


Filter problems are formulated for stochastic systems which are not Gaussian systems. Both the estimation problem, the sequential estimation problem, and the filter problem are treated. A sufficient condition for the existence of a finite-dimensional filter system is formulated. The concept of a family of invariant conditional distributions is defined. It is described how to solve the filter problem by a measure transformation method. Cases treated include the Poisson–Gamma filter and the filter of an output-finite–state-finite stochastic system.

Original languageEnglish
Title of host publicationControl and System Theory of Discrete-Time Stochastic Systems
EditorsJ.H. van Schuppen
Number of pages47
ISBN (Electronic)078-0-030-66952-9
Publication statusPublished - 2021

Publication series

NameCommunications and Control Engineering
ISSN (Print)0178-5354
ISSN (Electronic)2197-7119


  • Filter problem
  • Poisson-Gamma filter


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