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Optimal Filtering for Linear Systems with Multiplicative and Additive Wiener Noises

Authors:Basin Michael, Autonomous University of Nuevo Leon, Mexico
Skliar Mikhail, University of Utah, United States
Zhang HuiChai, University of Utah, United States
Topic:1.4 Stochastic Systems
Session:Control, Estimation and Analysis of Stochastic Systems
Keywords: Filtering, stochastic system, multiplicative and additive Wiener noises


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 Ito-Volterra systems.