Abstract
The problem of restoration of an unknown deterministic perturbation in the stochastic differential Ito equation was considered from the standpoint of the dynamic conversion theory. The imprecise discrete measurements of part of the current phase vector were regarded as the input information. A finite-stage resolving algorithm based on the method of controlled auxiliary models was proposed. Its convergence was proved, and the conditions for parameter coordination were presented.
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Original Russian Text © V.L. Rozenberg, 2012, published in Avtomatika i Telemekhanika, 2012, no. 3, pp. 91–106.
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Rozenberg, V.L. On a problem of perturbation restoration in stochastic differential equation. Autom Remote Control 73, 494–507 (2012). https://doi.org/10.1134/S0005117912030083
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DOI: https://doi.org/10.1134/S0005117912030083