Linear estimation of continuous-discrete linear state space models with multiplicative noise

✍ Scribed by J.C. Jimenez; T. Ozaki

• Publisher: Elsevier Science
• Year: 2002
• Tongue: English
• Weight: 211 KB
• Volume: 47
• Category: Article
• ISSN: 0167-6911
• DOI: 10.1016/s0167-6911(02)00150-0

✦ Synopsis

This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. Speciÿcally, the optimal minimum variance linear ÿlter for that class of models is constructed. Moreover, the solutions of the di erential equations that describe the evolution of the two ÿrst conditional moments between observations are obtained and an algorithm for their numerical computation is also given. The performance of the linear ÿlter is illustrated by means of numerical experiments.