Conditionally optimal interpolation of random processes defined by stochastic differential equations

MaRDI QIDQ1595693zbMATH OpenFDO

Authors I. N. Sinitsyn, M. Oh, V. I. Shin

Publication date 13 February 2001

Published in Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

nonlinear stochastic differential equationsoptimal interpolationstochastic processes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Review text

A partially observable stochastic process \(\{Z_t,Y_t\}\) is considered, which is defined by nonlinear stochastic differential equations. The optimal interpolation problem is to obtain an optimal estimate \(\widehat Z_{s/t}\), \(s<t\), of the value \(Z_s\) of the nonobservable process from the results of observations \(\{Y_u,0\leq u\leq t\}\). Efficient solutions of the problem have been obtained only for linear equations and for nonlinear equations of conditional Gaussian processes. \textit{I. N. Sinitsyn} and \textit{V. I. Shin} [Russ. Acad. Sci., Dokl., Math. 49, No. 3, 539-544 (1994); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 336, No. 4, 453-456 (1994; Zbl 0828.60027)] developed a theory of interpolation of random sequences defined by nonlinear stochastic difference equations. In the present paper the theory is extended to stochastic processes. Three types of interpolation problems are solved: the fixed point, fixed lag, and fixed interval interpolation. The calculation for constructing a conditionally optimal interpolator can be done before hand, during the designing of an interpolator, with the help of corresponding software, see \textit{Pugachev} et al. [Autom. Remote Control 52, No. 1, 73-80 (1991)]. The interpolation itself can be done on a real-time scale.

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