Linear estimation of continuous-discrete linear state space models with multiplicative noise
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Cites work
- scientific article; zbMATH DE number 939851 (Why is no real title available?)
- scientific article; zbMATH DE number 3342967 (Why is no real title available?)
- scientific article; zbMATH DE number 3347994 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- A continuous-flow model for production networks with finite buffers, unreliable machines, and multiple products
- A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
- An Overview of Stochastic Bilinear Control Processes
- Computing integrals involving the matrix exponential
- Estimation in controlled stochastic systems with multiplicative noise
- Expokit
- Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
- Natural Bilinear Control Processes
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Optimal estimation of linear discrete-time systems with stochastic parameters
- Optimal quadratic filtering of linear discrete-time non-Gaussian systems
- Polynomial filtering of discrete-time stochastic linear systems with multiplicative state noise
- State estimation and control synthesis for discrete linear systems with additive and multiplicative noise
- Stochastic processes and filtering theory
Cited in
(15)- Iterative linearization methods for approximately optimal control and estimation of non-linear stochastic system
- Derivation of linear estimation algorithms from measurements affected by multiplicative and additive noises
- Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
- Simplified formulas for the mean and variance of linear stochastic differential equations
- On an approach to the estimation of the state-variable descriptive parameters for linear continuous-time models
- A state predictor for continuous-time stochastic systems
- A new state-space model for linear discrete multipass processes
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
- A weak local linearization scheme for stochastic differential equations with multiplicative noise
- Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
- Computing multiple integrals involving matrix exponentials
- Recursive linear estimation for discrete-time systems in the presence of different multiplicative observation noises
- Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis
- An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
- Computing high dimensional multiple integrals involving matrix exponentials
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