Solution of the Zakai equation by separation of variables
Fred E. Daum · IEEE Transactions on Automatic Control · 1987
An exact expression for the unnormalized conditional density is derived for certain nonlinear estimation problems. The basic method is to solve the Zakai equation using separation of variables. This new filter is a generalization of the Kalman-Bucy filter, the Benes filter and other nonlinear filters within a unified framework.