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Trudy Instituta Matematiki i Mekhaniki UrO RAN, 2013, Volume 19, Number 4, Pages 214–221 (Mi timm1015)  

This article is cited in 1 scientific paper (total in 1 paper)

Problem of reconstructing a disturbance in a linear stochastic equation: the case of incomplete information

V. L. Rozenberg

Institute of Mathematics and Mechanics, Ural Branch of the Russian Academy of Sciences, Ekaterinburg
Full-text PDF (436 kB) Citations (1)
References:
Abstract: The problem of reconstructing an unknown deterministic disturbance characterizing the level of random noise in a linear stochastic second-order equation is investigated based on the approach of dynamic inversion theory. The reconstruction is performed with the use of discrete information on a number of realizations of one coordinate of the stochastic process. The problem under consideration is reduced to an inverse problem for a system of ordinary differential equations describing the covariance matrix of the original process. A finite-step solving algorithm based on the method of auxiliary controlled models is suggested. Its convergence rate estimate with respect to the number of measured realizations is obtained.
Keywords: reconstruction of disturbance, stochastic differential equation, incomplete input information.
Received: 31.05.2013
English version:
Proceedings of the Steklov Institute of Mathematics (Supplementary issues), 2014, Volume 287, Issue 1, Pages 167–174
DOI: https://doi.org/10.1134/S0081543814090168
Bibliographic databases:
Document Type: Article
UDC: 517.977
Language: Russian
Citation: V. L. Rozenberg, “Problem of reconstructing a disturbance in a linear stochastic equation: the case of incomplete information”, Trudy Inst. Mat. i Mekh. UrO RAN, 19, no. 4, 2013, 214–221; Proc. Steklov Inst. Math. (Suppl.), 287, suppl. 1 (2014), 167–174
Citation in format AMSBIB
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\paper Problem of reconstructing a disturbance in a linear stochastic equation: the case of incomplete information
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\yr 2013
\vol 19
\issue 4
\pages 214--221
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\jour Proc. Steklov Inst. Math. (Suppl.)
\yr 2014
\vol 287
\issue , suppl. 1
\pages 167--174
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  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Trudy Instituta Matematiki i Mekhaniki UrO RAN
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