The application of the separation principle for the linear continuous systems with coloured noise

DOI10.1016/0898-1221(91)90237-XzbMath0728.93076OpenAlexW2093417954MaRDI QIDQ805588

N. E. Zubov

Publication date: 1991

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(91)90237-x

zbMATH Keywords

separation principlecoloured noiseKalman-Bucy filter modelmean square optimal estimate

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
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