Mean-Square Filtering Problem for Discrete Volterra Equations

DOI10.1081/SAP-120037632zbMath1072.93025OpenAlexW2072047652MaRDI QIDQ4826132

Xuerong Mao, A. B. Bashkov, V. B. Kolmanovskij, Alexander Matasov

Publication date: 11 November 2004

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120037632

zbMATH Keywords

dimension reductionduality theoryfilter approximationlevel of nonoptimalitylinear discrete Volterra equationsreduced Kalman filterstochastic mean square filtering problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

Related Items (3)

On a Boundary Value Problem in the Filtering Theory for Discrete Volterra Equations ⋮ Filtering Problem for Discrete Volterra Equations with Combined Disturbances ⋮ On one approach to the solution of the problem of guaranteeing estimation for Volterra equations

Cites Work

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• Optimal control of Volterra type stochastic difference equations
• The Kalman-Bucy filter in the guaranteed estimation problem
• The Kalman-Bucy filter accuracy in the guaranteed parameter estimation problem with uncertain statistics

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