Estimation of the solutions of linear stochastic integral equations

DOI10.1016/0021-8928(87)90010-4MaRDI QIDQ1825848zbMATH OpenOpenAlexFDO

Authors V. B. Kolmanovskii, Leonid Shaikhet

Publication date 1987

Published in Journal of Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0021-8928(87)90010-4

zbMATH Keywords

delayed observationslinear stochastic Volterra equationoptimal filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Filtering in stochastic control theory (93E11)

Review text

The paper treats the problem of optimal filtering for a linear stochastic Volterra equation with delayed observations. Considering the dual problem a Fredholm equation must be solved which is achieved by the method of successive approximations.

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Cites work

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• Neutral-type systems with aftereffects

Cited in

(7)

• Filtering of stochastic delayed differential equations in Hilbert spaces
• scientific article; zbMATH DE number 4162790 (Why is no real title available?)
• scientific article; zbMATH DE number 3900003 (Why is no real title available?)
• An estimation problem for linear stochastic equations with memory
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• Estimation of non-integral and integral quadratic functions in linear stochastic differential systems
• An initial-value solution of the least-squares estimation problem with degenerate covariance

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