Applying the EKF to stochastic differential equations with level effects (Q1592900)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applying the EKF to stochastic differential equations with level effects |
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Applying the EKF to stochastic differential equations with level effects (English)
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1 May 2001
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The authors consider a nonlinear filtering problem for a model with multiplicative noise. For a restricted class of systems of stochastic differential equations, they propose a transformation such that the transformed system is a system with additive noise.
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stochastic modelling
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nonlinear filtering
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multiplicative noise
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transformation
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