This article is cited in 3 papers

Conditionally optimal filtering and extrapolation methods for observable implicit stochastic systems

I. N. Sinitsyn

Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation

Abstract: The paper is devoted to the development of Pugachev's conditionally optimal filtering and extrapolation methods for implicit stochastic systems (StS) reducible to explicit continuous and discrete StS. A special review in the field of suboptimal and conditionally optimal filtering and extrapolation for continuous and discrete StS with unsolved derivatives (differences) is given. Mathematical models of implicit continuous and discrete Gaussian and non-Gaussian StS reducible to explicit StS are presented. It is supposed that observations do not influence implicit objects of observation and are described by explicit differential (difference) equations. Basic methods for conditionally optimal filtering and extrapolation in implicit StS reducible to explicit StS at Gaussian and non-Gaussian noises are developed. Three examples are discussed. Some generalizations are given.

Keywords: conditionally optimal extrapolation, conditionally optimal filtering, implicit stochastic systems, explicit stochastic systems.

Received: 15.04.2024

DOI: 10.14357/19922264240401