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- W2006503445 abstract "The theory of conditionally optimal estimation of the state and parameters and of conditionally optimal extrapolation of the state of a stochastic system described by differential equations is given. Previous results obtained by the author follow from this theory as special cases. Classes of admissible estimates in this new theory are constructed in such a way that any specific estimate defined as a result of some linear transform of the solution of a stochastic differential equation can be enclosed in the respective class of admissible estimates and compared with the conditionally optimal estimate in this class. This enables one to study the accuracy of any such estimate, in particular the accuracy of any known approximate method of nonlinear filtering, and to improve the accuracy without any complications by optimizing the coefficients in the respective differential equation. As a special case the filtering and prediction theory is developed for linear systems with white noises in the coefficients." @default.
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- W2006503445 date "1982-11-01" @default.
- W2006503445 modified "2023-09-27" @default.
- W2006503445 title "Conditionally optimal estimation in stochastic differential systems" @default.
- W2006503445 cites W2083402998 @default.
- W2006503445 doi "https://doi.org/10.1016/0005-1098(82)90057-7" @default.
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