\(\mathcal H_2\) optimal filtering for continuous-time periodic linear stochastic systems with state-dependent noise
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Publication:2454060
DOI10.1016/j.sysconle.2013.12.020zbMath1288.93086MaRDI QIDQ2454060
Publication date: 12 June 2014
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2013.12.020
filtering; Riccati differential equations; periodic stochastic systems; Lyapunov differential equations; \(\mathcal H_2\) norm
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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