ean-Square Filtering for Polynomial System States Confused with Poisson Noises over Polynomial Observations

Published version of an article in the journal: Modeling, Identification and Control. Also available from the publisher at: http://dx.doi.org/10.4173/mic.2011.2.1 In this paper, the mean-square filtering problem for polynomial system states confused with white Poisson noises over polynomial observations is studied proceeding from the general expression for the stochastic Ito differentials of the mean-square estimate and the error variance. In contrast to the previously obtained results, the paper deals with the general case of nonlinear polynomial states and observations with white Poisson noises. As a result, the Ito differentials for the mean-square estimate and error variance corre- spon…