A deterministic discretisation-step upper bound for state estimation via Clark transformations

DOI10.1155/S1048953304311032zbMath1071.65007OpenAlexW2017528090MaRDI QIDQ1773289

Xianqiang Yang

Publication date: 26 April 2005

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/51656

zbMATH Keywords

stabilizationstate estimationBrownian motionstochastic differential equationsPoisson processdiscretizationsClark transformationscontinuous-time filteringpositivity-preserving numerical schemes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30)

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