On filtering over Îto-Volterra observations. (2000)

• Record Type: Journal Article
• Authors: Basin, Michael V.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 13:Number 4(2000)
• Page Start: 347
• Page End: 364
• Publication Date: 2000
• Subjects: Kalman filtering -- Îto-Volterra observations -- delayed observations; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953300000319
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : In this paper, the Kalman-Bucy filter is designed for an Îto-Volterra process over Ito-Volterra observations that cannot be reduced to the case of a differential observation equation. The Kalman-Bucy filter is then designed for an Ito-Volterra process over discontinuous Ito-Volterra observations. Based on the obtained results, the filtering problem over discrete observations with delays is solved. Proofs of the theorems substantiating the filtering algorithms are given.