Optimal times to observe in the kalman-bucy models

DOI10.1080/17442500008834236zbMATH Open0956.60061OpenAlexW2070400777MaRDI QIDQ4949459FDOQ4949459

Authors: Yaozhong Hu 

Publication date: 1 March 2001

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834236

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zbMATH Keywords

linear systemKalman-Bucy filterregular partitionoptimal observing time intervals

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cited In (4)

• Effective observation of random processes using derivatives
• Optimal timing of observations for state estimation in a one-dimensional linear continuous system
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data

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