Continuous-discrete filtering and smoothing on submanifolds of euclidean space
In this paper the issue of filtering and smoothing in continuous discrete time is studied when the state variable evolves in some submanifold of Euclidean space, which may not have the usual Lebesgue measure. Formal expressions for prediction and smoothing problems are reviewed, which agree with the classical results except that the formal adjoint of the generator is different in general. These re