The variance matrix of a multivariate random process of a stochastic differential system

DOI10.1007/BF01672653MaRDI QIDQ1909199zbMATH OpenOpenAlexFDO

Authors N. A. Mikhalochkin, V. V. Geletukha

Publication date 18 March 1996

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01672653

zbMATH Keywords

stochastic differential systemvariance matrix of a multivariate random process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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