A discretization method in designing an optimal filter for systems with delay (Q1178567)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A discretization method in designing an optimal filter for systems with delay |
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A discretization method in designing an optimal filter for systems with delay (English)
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26 June 1992
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The author transforms a filtration problem for finite-dimensional linear Ito equations with delay and addition white noise into a ``classical'' Hilbert space valued filtration problem with finite-dimensional observations. The semigroup theory of linear operators is used. Then the filter is determined by a discrete-time approximation explicitly.
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stochastic evolution equations
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Ito equations
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white noise
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discrete-time approximation
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