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Keywords:

  • Fokker-Planck-equation;
  • distributed approximating functionals;
  • continuous-discrete nonlinear filter.

This article introduces a new method for nonlinear continuous-discrete filtering. It is shown that the Fokker–Planck-equation can be solved numerically by using distributed approximating functionals (DAFs). The approximation is very accurate and resolves the time interval between observations in one calculation step. Additionally, the operator matrix has to be evaluated only once and not necessarily online. Therefore, the method is very efficient.