Filtration and Prediction Problems for Stochastic Fields

Pavel S. Knopov and Olena N. Deriyeva
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Pavel S. Knopov: V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine
Olena N. Deriyeva: V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine

Chapter Chapter 3 in Estimation and Control Problems for Stochastic Partial Differential Equations, 2013, pp 93-134 from Springer

Abstract: Abstract In this chapter we investigate different models of filtration and prediction for stochastic fields generated by some stochastic differential equations. We derive stochastic integro-differentiation equations for an optimal in the mean square sense filter. We also suggest different approaches for finding the best linear estimate for a stochastic field basing on its observations in certain domain. Besides, we investigate the duality of the filtration problem and a certain optimal control problem. This chapter is based on the results published in [3, 5, 11, 12, 17, 41–44, 46, 69].

Keywords: Stochastic Field; Filtering Problem; Sense Filter; Stochastic Parabolic Equations; Orthogonal Stochastic Measure (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-8286-4_3

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DOI: 10.1007/978-1-4614-8286-4_3

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