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#48 contains some first structure/code snippets for the Lyapunov filter (Proposition 3.5. in https://arxiv.org/abs/1712.03807) when B and \tilde{a} are constant.
Based on the discussions in #48, there are a few points remaining:
Potentially there is still a small error in the solution for \nu because the solution from the Lyapunov filter doesn't agree with the covariance filter based on solving the ODE yet.
#48 contains some first structure/code snippets for the Lyapunov filter (Proposition 3.5. in https://arxiv.org/abs/1712.03807) when B and \tilde{a} are constant.
Based on the discussions in #48, there are a few points remaining:
Potentially there is still a small error in the solution for \nu because the solution from the Lyapunov filter doesn't agree with the covariance filter based on solving the ODE yet.
a time-inhomogeneous example should be added. There is https://github.com/mschauer/Bridge.jl/blob/430e9d8a0a39a2cd00f13cd10bfd1f3df5f3d2c4/src/linpro.jl#L13 in Bridge.jl, where a time dependent drift using a cspline (see https://github.com/mschauer/Bridge.jl/blob/430e9d8a0a39a2cd00f13cd10bfd1f3df5f3d2c4/src/cspline.jl
and https://en.wikipedia.org/wiki/Cubic_Hermite_spline) is defined.
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