Boundary value processes: Estimation and identification
The author studied the boundary value process, i.e. the solution to \[ dx_ t=A(t)x_ tdt+G(t)u(t)dt+B(t)dw_ t,\quad V^ 0x_ 0+V^ Tx_ T=v, \] and the associated smoothing and identification problem. Both lumped and distributed parameter models are considered. Some open problems on the subject are also given.
scientific article; zbMATH DE number 4153615
scientific article