Optimal Filtering for Linear Systems with Multiplicative and Additive Wiener Noises
نویسندگان
چکیده
The problem of the optimal state estimation is solved for the system described by the continuous, linear, n-dimensional ordinary differential equation with multiplicative and additive Wiener noises. The obtained solution essentially relies on the recently developed optimal filtering theory for Itô-Volterra systems. Copyright c ©2005 IFAC.
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تاریخ انتشار 2005