This article is cited in 4 papers

Stochastic Systems

Optimal estimation equations for the state vector of a stochastic bilinear system: its bilinear approximation

M. E. Shaikin

Institute of Control Sciences, Russian Academy of Sciences

Abstract: A finite-dimensional approximation for the optimal filtrating equations of the class of Markov diffusion processes described by a bilinear stochastic system is derived. The solution of the stochastic system is expressed in terms of the Peano series and its formal algebraic representation. A finite system of equations for the approximate filter is derived as the optimal Stratonovich–Kushner filter for a system with finite Peano series.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 04.09.2003

 English version: Automation and Remote Control, 2004, 65:12, 1946–1960

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