Estimation of non-integral and integral quadratic functions in linear stochastic differential systems

DOI10.11568/kjm.2017.25.1.45zbMath1461.93510OpenAlexW2609363275MaRDI QIDQ5208520

No author found.

Publication date: 8 January 2020

Full work available at URL: http://journal.kkms.org/index.php/kjm/article/download/460/352

zbMATH Keywords

estimationquadratic formwhite noiseKalman filteringstochastic systemrandom processstate vectorintegral and non-integral functionals

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15)

Cites Work

• From moments of sum to moments of product
• Stochastic processes and filtering theory
• Expectations of products of quadratic forms in normal variables
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