Conditionally optimal fixed-point interpolation of processes in stochastic differential systems
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.
- Conditionally optimal interpolation of random processes defined by stochastic differential equations
- Optimal Interpolation for Linear Stochastic Systems
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- The optimal uniform approximation of systems of stochastic differential equations
- Interpolation methods for stochastic processes spaces
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- scientific article; zbMATH DE number 1515775
- Efficient solution of the interpolation problem on the basis of observations of jump processes
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