A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems

DOI10.1137/S0363012997320912zbMath0957.93079OpenAlexW2181056773MaRDI QIDQ4507403

Marat K. Shuakayev, Francesco Carravetta, Alfredo Germani

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012997320912

zbMATH Keywords

polynomial filtering Kalman-Bucy filtering square integrable martingales Kronecker algebra stochastic bilinear systems wide-sense Wiener processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

Related Items (17)

A separation theorem for stochastic singular linear quadratic control problem with partial information ⋮ Quadratic estimation for discrete time-varying non-Gaussian systems with multiplicative noises and quantization effects ⋮ Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case ⋮ A decoupled approach to filter design for stochastic systems ⋮ A novel suboptimal method for solving polynomial filtering problems ⋮ Suboptimal linear estimation for continuous-discrete bilinear systems ⋮ Feedback polynomial filtering and control of non-Gaussian linear time-varying systems ⋮ Volterra series arising from the discrete Schrödinger wave equation in \(L^{2}[a, b\) space] ⋮ Dynamics of a stochastically perturbed two-body problem ⋮ A state predictor for continuous-time stochastic systems ⋮ The suboptimal method via probabilists' Hermite polynomials to solve nonlinear filtering problems ⋮ On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method ⋮ A stochastic optimal regulator for a class of nonlinear systems ⋮ Cubification of \(\sigma \pi \)-SDE and exact moment equations ⋮ \(\mathcal H_\infty\) functional filtering for stochastic bilinear systems with multiplicative noises ⋮ A Kushner approach for small random perturbations of the Duffing-van der Pol system ⋮ A Kolmogorov-Fokker-Planck approach for a stochastic Duffing-van der Pol system

This page was built for publication: A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems