guidance, flight mechanics and trajectory optimization

where the first
the second with
expectation
respect to
on the right
;z conditioned
is taken with
on .
Y
respect to and
Y
It is well known that the conditional density pCx,t/Cj) for the
problem under consideration is Gaussian with mean 2. and covariance V
satisfying the differential equations and boundary conditions
(2.5.64)
These results can be derived either directly by differentiating and reworking
the defining expression
2 = E ( Zct yycti) (2.5.65A)
as in Ref. (2.5.5) or through &he modified Fokker-Planck equation as
developed in Ref. (2.5.6). As in the perfectly inobservable case, let
x =;;;tjz
with 7 satisfying the differential equation
and with
(2.5.65B)
(2.5.66)
(2.5-67)
(2.5.68)