Filtration of a random process in a statistically uncertain linear stochastic differential system

DOI10.1007/s10513-005-0006-4zbMath1130.93425OpenAlexW4230285557MaRDI QIDQ2386483

G. B. Miller, Alexei R. Pankov

Publication date: 23 August 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10513-005-0006-4

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (11)

Minimax linear filtering of random sequences with uncertain covariance function ⋮ The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems ⋮ Design of Pareto-optimal linear quadratic estimates, filters and controllers ⋮ Pathwise stochastic control with applications to robust filtering ⋮ Minimax filtering in a stochastic differential system with non-stationary perturbations of unknown intensity ⋮ Minimax control of a process in a linear uncertain-stochastic system with incomplete data ⋮ Minimax filtering in linear stochastic uncertain discrete-continuous systems ⋮ The Wonham filter under uncertainty: A game-theoretic approach ⋮ Synthesis of reduced Kalman filter with the guaranteed estimation quality of dynamic system state ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ Parameter Uncertainty in the Kalman--Bucy Filter

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• Minimax linear estimation in generalized uncertain-stochastic system. II: Minimax filtering in dynamic systems described by stochastic differential equations with measure
• A modified inconsistency method for the statistically indeterminate estimation problem
• Minimax linear observers and regulators for stochastic systems with uncertain second-order statistics
• The Kalman filter: A robust estimator for some classes of linear quadratic problems
• On minmax filtering over discrete-continuous observations

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