Conditionally optimal fixed-point interpolation of processes in stochastic differential systems (Q1286552)

Continuous conditional Pugachev optimal fixed-point interpolation is studied. Starting with a given system of stochastic differential equations whose coefficients depend on an observation process it is described the class of admissible estimators by a differential equation of given order and dimension. For a linear, differential system, the equations of a conditional optimal interpolator coincide with the equations of linear fixed-point interpolation. Conditional optimal interpolation is constructed without using the current observation data. An example is given.