Mathematics of Kalman-Bucy Filtering

  • Peter A. Ruymgaart
  • Tsu T. Soong

Part of the Springer Series in Information Sciences book series (SSINF, volume 14)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Peter A. Ruymgaart, Tsu T. Soong
    Pages 1-29
  3. Peter A. Ruymgaart, Tsu T. Soong
    Pages 30-79
  4. Peter A. Ruymgaart, Tsu T. Soong
    Pages 80-99
  5. Peter A. Ruymgaart, Tsu T. Soong
    Pages 100-153
  6. Peter A. Ruymgaart, Tsu T. Soong
    Pages 154-157
  7. Back Matter
    Pages 158-172

About this book


The second edition has not deviated significantly from the first. The printing of this edition, however, has allowed us to make a number of corrections which escaped our scrutiny at the time of the first printing, and to generally improve and tighten our presentation of the material. Many of these changes were suggested to us by colleagues and readers and their kindness in doing so is greatly appreciated. Delft, The Netherlands and P. A. Ruymgaart Buffalo, New York, December, 1987 T. T. Soong Preface to the First Edition Since their introduction in the mid 1950s, the filtering techniques developed by Kalman, and by Kalman and Bucy have been widely known and widely used in all areas of applied sciences. Starting with applications in aerospace engineering, their impact has been felt not only in all areas of engineering but as all also in the social sciences, biological sciences, medical sciences, as well other physical sciences. Despite all the good that has come out of this devel­ opment, however, there have been misuses because the theory has been used mainly as a tool or a procedure by many applied workers without fully understanding its underlying mathematical workings. This book addresses a mathematical approach to Kalman-Bucy filtering and is an outgrowth of lectures given at our institutions since 1971 in a sequence of courses devoted to Kalman-Bucy filters.


Estimator Gaussian distribution Lévy process Probability space Probability theory Random variable Stochastic processes stochastic process

Authors and affiliations

  • Peter A. Ruymgaart
    • 1
  • Tsu T. Soong
    • 2
  1. 1.Department of MathematicsUniversity of Technology, DelftDelftThe Netherlands
  2. 2.Faculty of Engineering and Applied SciencesState University of New York at BuffaloBuffaloUSA

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1988
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-18781-3
  • Online ISBN 978-3-642-73341-3
  • Series Print ISSN 0720-678X
  • Buy this book on publisher's site