Closed form solution for time-varying Kalman filter

A method for derivation of closed-form solution for the Differential Riccati Matrix Equation for specific time-varying systems is presented. It allows more insight into the nature of the solution, and reduces the on-line computation requirements, since it does not require an on-line solution of a differential equation. Sufficient conditions for the existence of the closed form solution are given. The method is applied to a target tracking application. The analytical results are verified with numerical results.