The accurate continuous-discrete extended Kalman filter for continuous-time stochastic systems

DOI10.1515/RNAM-2015-0021zbMath1321.65012OpenAlexW2523678310MaRDI QIDQ2517193

G. Yu. Kulikov, M. V. Kulikova

Publication date: 17 August 2015

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam-2015-0021

zbMATH Keywords

numerical examplesextended Kalman filternonlinear filteringstochastic dynamic systemmoment differential equationsadaptive MDE solvercontinuous-discrete stochastic state-space modellocal and global error controls

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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