Statistical digital filtration of continuous random processes with colored noises of measurement (Q1386888)

The paper describes a procedure that reduces the filtering problem of stochastic dynamic systems with colored measurement noises to an optimal numerical algorithm with a precise account of the analog-to-digital converter characteristics. The procedure mentioned above is a modernization of the difference measurement method. The operations of time quantization and quantization by levels of the measured continuous stochastic process are necessary. The main difficulty consists in the construction of the equivalent discrete model of the continuous measurement. An algorithm of statistical digital filtering is presented and the example of additive colored background Markov noise is considered.