This article is cited in 2 papers

Applications of Mathematical Programming

On a problem of perturbation restoration in stochastic differential equation

V. L. Rozenberg

Institute of Mathematics and Mechanics, Ural Branch of the Russian Academy of Sciences, Ekaterinburg, Russia

Abstract: The problem of restoration of an unknown deterministic perturbation in the stochastic differential Ito equation was considered from the standpoint of the dynamic conversion theory. The imprecise discrete measurements of part of the current phase vector were regarded as the input information. A finite-stage resolving algorithm based on the method of controlled auxiliary models was proposed. Its convergence was proved, and the conditions for parameter coordination were presented.

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

Received: 06.06.2011

 English version: Automation and Remote Control, 2012, 73:3, 494–507

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