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Filtering of Gaussian stochastic processes by observations with delays. (English) Zbl 0777.93087
Advances in optimization, Proc. 6th Fr.-Ger. Colloq., Lambrecht/Ger. 1991, Lect. Notes Econ. Math. Syst. 382, 330-344 (1992).
Summary: [For the entire collection see Zbl 0746.00073.]
The problem which arises in stability and optimal control theory for stochastic hereditary systems is connected with states estimate. In this paper the equation for optimal in mean square estimate of Gaussian stochastic process by observations with delay is obtained and dependence of the estimate error on the delay in observations is investigated.

MSC:
93E11 Filtering in stochastic control theory
Citations:
Zbl 0746.00073
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