The variance matrix of a multivariate random process of a stochastic differential system

DOI10.1007/BF01672653zbMath0838.60053OpenAlexW2080054199MaRDI QIDQ1909199

N. A. Mikhalochkin, V. V. Geletukha

Publication date: 18 March 1996

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01672653

zbMATH Keywords

stochastic differential systemvariance matrix of a multivariate random process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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