Boundary Value Problems
Volume 2008 (2008), Article ID 279410, 10 pages
Boundary Value Problems Arising in Kalman Filtering
1Department of Mathematics, Eastern Mediterranean University, Via Mersin 10, Famagusta, North Cyprus, Turkey
2Institute of Cybernetics, Azerbaijan National Academy of Sciences, F. Agayev Street 9, Az1141 Baku, Azerbaijan
Received 10 July 2008; Revised 20 September 2008; Accepted 20 October 2008
Academic Editor: Veli Shakhmurov
Copyright © 2008 Agamirza Bashirov et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The classic Kalman filtering equations for independent and correlated
white noises are ordinary differential equations (deterministic or stochastic) with the
respective initial conditions. Changing the noise processes by taking them to be more
realistic wide band noises or delayed white noises creates challenging partial differential
equations with initial and boundary conditions. In this paper, we are aimed to give
a survey of this connection between Kalman filtering and boundary value problems,
bringing them into the attention of mathematicians as well as engineers dealing with
Kalman filtering and boundary value problems.