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:: Volume 24, Issue 1 (9-2019) ::
Andishe 2019, 24(1): 1-11 Back to browse issues page
Filtering Problem in Stochastic Differential Equation and it's application in estimation
Mehdi Shams Dr. *, Gholamreza Hesamian Dr.
University of Kashan
Abstract:   (931 Views)
‎In this paper after introduce Ito integral we discuss filtering problem‎. ‎In filtering problem there are two stochastic differential equations (system and observation) that given the observations we must find the best estimate for the random process of the system based on these observations‎. ‎At last we give some useful examples‎.
Keywords: ‎Stochastic Integral‎, ‎Ito Integral‎, ‎Stochastic Differential Equation‎, ‎Filtering‎, ‎Estimation‎.
Full-Text [PDF 309 kb]   (187 Downloads)    
Type of Study: Research | Subject: Special
Received: 2018/02/15 | Accepted: 2019/09/27 | Published: 2019/10/22
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Shams M, Hesamian G. Filtering Problem in Stochastic Differential Equation and it's application in estimation. Andishe. 2019; 24 (1) :1-11
URL: http://andisheyeamari.irstat.ir/article-1-511-en.html


Volume 24, Issue 1 (9-2019) Back to browse issues page
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