This article is cited in 1 scientific paper (total in 1 paper)
Dynamic reconstruction of disturbances in a quasilinear stochastic differential equation
V. L. Rozenberg
Institute of Mathematics and Mechanics, Ural Branch, Russian Academy of Sciences, Yekaterinburg, Russia
The problem of reconstructing unknown inputs in a first-order quasilinear stochastic differential equation is studied by applying dynamic inversion theory. The disturbances in the deterministic and stochastic terms of the equation are simultaneously reconstructed using discrete information on some realizations of the stochastic process. The problem is reduced to an inverse one for ordinary differential equations satisfied by the expectation and variance of the original process. A finite-step software implementable solution algorithm is proposed, and its accuracy with respect to the number of measured realizations is estimated. An illustrative example is given.
dynamic reconstruction, quasilinear stochastic differential equation, auxiliary controlled model.
Computational Mathematics and Mathematical Physics, 2018, 58:7, 1071–1080
V. L. Rozenberg, “Dynamic reconstruction of disturbances in a quasilinear stochastic differential equation”, Zh. Vychisl. Mat. Mat. Fiz., 58:7 (2018), 1121–1131; Comput. Math. Math. Phys., 58:7 (2018), 1071–1080
Citation in format AMSBIB
\paper Dynamic reconstruction of disturbances in a quasilinear stochastic differential equation
\jour Zh. Vychisl. Mat. Mat. Fiz.
\jour Comput. Math. Math. Phys.
Citing articles on Google Scholar:
Related articles on Google Scholar:
This publication is cited in the following articles:
V. L. Rozenberg, “K zadache dinamicheskogo vosstanovleniya vozmuscheniya pri defitsite informatsii”, Tr. IMM UrO RAN, 25, no. 1, 2019, 207–218
|Number of views:|