This article is cited in 2 papers

Dynamic reconstruction of disturbances in stochastic differential equations

V. L. Rozenberg

Institute of Mathematics and Mechanics, Ural Branch, Russian Academy of Sciences, ul. S. Kovalevskoi 16, Yekaterinburg, 620219 Russia

Abstract: The reconstruction of the unknown deterministic disturbance in an Ito stochastic differential equation is studied using the Osipov–Kryazhimskii dynamic inversion theory. Inexact discrete observations of the current phase state are used as input data. A finite-step solving algorithm based on the method of auxiliary controllable models is proposed. Its convergence is proved, and the compatibility conditions for the parameters are given.

Key words: dynamic inversion theory, stochastic differential equation, finite-step reconstruction algorithm.

UDC: 519.676

Received: 24.02.2010
Revised: 10.03.2011

 English version: Computational Mathematics and Mathematical Physics, 2011, 51:10, 1695–1704

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