Spectral method of analysis and optimal estimation in linear stochastic systems-Reference-Cited by-同舟云学术

Spectral method of analysis and optimal estimation in linear stochastic systems

Published:2020-06 Issue:03 Volume:11 Page:2050022
ISSN:1793-9623
Container-title:International Journal of Modeling, Simulation, and Scientific Computing
language:en
Short-container-title:Int. J. Model. Simul. Sci. Comput.

Author:

Rybakov K. A.¹^ORCID

Affiliation:

1. Mathematical Cybernetics Department, Moscow Aviation Institute (National Research University), Volokolamskoye Highway 4, Moscow 125993, Russia

Abstract

It is proposed to use the spectral form of mathematical description of control systems for modeling continuous-time Markov random processes described by linear stochastic differential equations with additive or multiplicative noise. The obtained results are applied to solve the output process analysis problem and the optimal estimation problem.

Funder

Russian Foundation for Basic Research, Project

Publisher

World Scientific Pub Co Pte Lt

Subject

Computer Science Applications,Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S1793962320500221

Reference35 articles.

1. Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

2. Stochastic Numerics for Mathematical Physics

3. Fundamentals of Stochastic Filtering

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