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

DOI10.1007/S10513-005-0006-4MaRDI QIDQ2386483zbMATH OpenOpenAlexFDO

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

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

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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
Minimax linear observers and regulators for stochastic systems with uncertain second-order statistics
On minmax filtering over discrete-continuous observations
Solution of the topographical fixation problem through the Kalman filter in the guaranteed approach
The Kalman filter: A robust estimator for some classes of linear quadratic problems

Cited in

(23)

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
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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
Minimax filtering in a stochastic differential system with non-stationary perturbations of unknown intensity
Linear filtration of stochastic processes with measurements at random times
Synthesis of reduced Kalman filter with the guaranteed estimation quality of dynamic system state
Robust filtering and propagation of uncertainty in hidden Markov models
Minimax filtering in linear stochastic uncertain discrete-continuous systems
Pathwise stochastic control with applications to robust filtering
Filtrage d'un système càd-làg:application du calcul des variations stochastiques à l'existence d'une densiteé
Minimax linear filtering of random sequences with uncertain covariance function
scientific article; zbMATH DE number 497522 (Why is no real title available?)
The filtered counting process and its applications to stochastic manufacturing systems
Minimax quadratic filtering of uncertain linear stochastic systems with partial fourth-order information
Filtration of components of processes of random evolution
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Parameter uncertainty in the Kalman-Bucy filter
scientific article; zbMATH DE number 273050 (Why is no real title available?)
The Wonham filter under uncertainty: A game-theoretic approach
Optimal estimation and filtration under unknown covariances of random factors
Method of construction of finite-dimensional filters for a class of stochastic differential systems
Minimax control of a process in a linear uncertain-stochastic system with incomplete data

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