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Trudy Instituta Matematiki i Mekhaniki UrO RAN, 2011, Volume 17, Number 1, Pages 217–228 (Mi timm684)  
On the problem of continuous estimation of a disturbance in a stochastic differential equation

V. L. Rozenberg

Institute of Mathematics and Mechanics, Ural Branch of the Russian Academy of Sciences
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Abstract: Basing on the approach of the theory of dynamic inversion, the problem of continuous estimation of an unknown deterministic disturbance in an Ito stochastic differential equation is investigated with the use of inaccurate measurements of the current phase state. An auxiliary model equation with a control approximating the unknown input is derived. A suggested solving algorithm is constructive; its convergence rate estimate is explicitly written.
Keywords: continuous estimation of disturbance, stochastic differential equation, method of auxiliary models.
Received: 02.08.2010
English version:
Proceedings of the Steklov Institute of Mathematics (Supplementary issues), 2011, Volume 275, Issue 1, Pages S149–S160
DOI: https://doi.org/10.1134/S0081543811090112
Bibliographic databases:
Document Type: Article
UDC: 517.977
Language: Russian
Citation: V. L. Rozenberg, “On the problem of continuous estimation of a disturbance in a stochastic differential equation”, Trudy Inst. Mat. i Mekh. UrO RAN, 17, no. 1, 2011, 217–228; Proc. Steklov Inst. Math. (Suppl.), 275, suppl. 1 (2011), S149–S160
Citation in format AMSBIB
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\paper On the problem of continuous estimation of a~disturbance in a~stochastic differential equation
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\pages 217--228
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