# On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems

@article{Srkk2007OnUK, title={On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems}, author={S. S{\"a}rkk{\"a}}, journal={IEEE Trans. Autom. Control.}, year={2007}, volume={52}, pages={1631-1641} }

This paper considers the application of the unscented Kalman filter (UKF) to continuous-time filtering problems, where both the state and measurement processes are modeled as stochastic differential equations. The mean and covariance differential equations which result in the continuous-time limit of the UKF are derived. The continuous-discrete UKF is derived as a special case of the continuous-time filter, when the continuous-time prediction equations are combined with the update step of the… Expand

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