Estimation of non-integral and integral quadratic functions in linear stochastic differential systems

DOI10.11568/KJM.2017.25.1.45MaRDI QIDQ5208520zbMATH OpenOpenAlexFDO

Authors

Publication date 8 January 2020

Full work available at URL http://journal.kkms.org/index.php/kjm/article/download/460/352

zbMATH Keywords

estimationKalman filteringquadratic formwhite noisestochastic systemrandom processstate vectorintegral and non-integral functionals

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15)

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Cites work

• scientific article; zbMATH DE number 4089457 (Why is no real title available?)
• scientific article; zbMATH DE number 3998900 (Why is no real title available?)
• Expectations of products of quadratic forms in normal variables
• From moments of sum to moments of product
• Introduction to random signals and applied Kalman filtering. With Matlab exercises and solutions
• Stochastic processes and filtering theory

Cited in

(1)

• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems

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