Optimal Filtering for Linear Systems with Multiplicative and Additive Wiener Noises

Authors:	Basin Michael, Autonomous University of Nuevo Leon, Mexico Skliar Mikhail, University of Utah, United States Zhang HuiChai, University of Utah, United States
Topic:	1.4 Stochastic Systems
Session:	Control, Estimation and Analysis of Stochastic Systems
Keywords:	Filtering, stochastic system, multiplicative and additive Wiener noises

Abstract

The problem of the optimal state estimation is solved for the system described by the continuous, linear, n-dimensional ordinary differential equation with multiplicative and additive Wiener noises. The obtained solution essentially relies on the recently developed optimal filtering theory for Ito-Volterra systems.