β Scribed by S.A. Elsanousi
No coin nor oath required. For personal study only.
A filtering of KalmanαBucy type is derived for a signal governed by a linear retarded stochastic differential equation, given a noisy observation process linearly related to the section of the signal. A Volterra type integral equation is obtained for a ''general tracking error.''
π SIMILAR VOLUMES
In this paper, a simple algebraic expression to evaluate the local linearization scheme for stochastic differential equations is introduced. In this way, the computation of the deterministic part of LL schemes is reduced to the evaluation of a matrix exponential, which reduces considerably the compu
This note discusses convergence rate of a linearization method for the discretization of stochastic differential equations with multiplicative noise. The method is to approximate the drift coefficient by the local linearization method and the diffusion coefficient by the Euler method. The mixed meth
This paper proposes a non-linear control law for a variable damping device (VDD) aimed at reducing structural seismic responses. The VDD is attached to the structure by an auxiliary spring element composing a non-linear Maxwell element. The VDD's damping coefficient is adjusted to control the reacti