Minimax estimation in uncertain-stochastic linear differential systems (Q1319737)

Consider \(dx_ t= a(t) x_ t dt+ dw_ t\), \(x_ 0=\nu\) where \(w_ t\) is the input with \(dw_ t= b(t) u_ t dt+ d\zeta_ t\) and \(\zeta_ t\) is a Wiener process. Observations of \(\nu\), \(u_ t\), \(x_ t\) \((t\in [0,T])\) and \(u_ T\) are known. Minimax recursive filtering and two- filter smoothing algorithms are constructed.