Optimal times to observe in the kalman-bucy models

DOI10.1080/17442500008834236zbMath0956.60061OpenAlexW2070400777MaRDI QIDQ4949459

Yaozhong Hu

Publication date: 1 March 2001

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834236

zbMATH Keywords

linear systemKalman-Bucy filterregular partitionoptimal observing time intervals

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) Stochastic integrals (60H05)

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