The continuous kalman filter as the limit of the discrete kalman filter
Scott M. Shald · Stochastic Analysis and Applications · 1999
In this paper we present a rigorous proof of the commonly held belief that the continuous time Kalman filter equations can be obtained as the limit of the discrete time Kalman filter equations. This is done by creating a uniformly integrable martingale using the discrete filter and showing that its limit, is the continuous filter