Conditionally optimal fixed-point interpolation of processes in stochastic differential systems (Q1286552)
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English | Conditionally optimal fixed-point interpolation of processes in stochastic differential systems |
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Conditionally optimal fixed-point interpolation of processes in stochastic differential systems (English)
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25 October 1999
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Continuous conditional Pugachev optimal fixed-point interpolation is studied. Starting with a given system of stochastic differential equations whose coefficients depend on an observation process it is described the class of admissible estimators by a differential equation of given order and dimension. For a linear, differential system, the equations of a conditional optimal interpolator coincide with the equations of linear fixed-point interpolation. Conditional optimal interpolation is constructed without using the current observation data. An example is given.
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observation
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conditional interpolation
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