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Filtering Problem in Stochastic Differential Equation and it's application in estimation
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Mehdi Shams *   , Gholamreza Hesamian |
| University of Kashan |
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Abstract: (3436 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. |
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| Keywords: Stochastic Integral, Ito Integral, Stochastic Differential Equation, Filtering, Estimation. |
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Full-Text [PDF 309 kb]
(1058 Downloads)
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Type of Study: Research |
Subject:
Special
Received: 2018/02/15 | Accepted: 2019/09/27 | Published: 2019/10/22
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