Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering (Q2833532)
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scientific article; zbMATH DE number 6654699
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| English | Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering |
scientific article; zbMATH DE number 6654699 |
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18 November 2016
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stiff stochastic differential equation of Itô type
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continuous-discrete stochastic state-space system
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extended Kalman filter
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moment differential equations
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nested implicit Runge-Kutta formula of order 6
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adaptive solvers with automatic local and global error controls
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stochastic Van der Pol oscillator
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Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering (English)
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0.8725849986076355
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0.82596755027771
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0.8200064301490784
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0.8058653473854065
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