Algorithm for the continuous estimation of a disturbance in a stochastic differential equation |
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Authors: | V L Rozenberg |
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Institution: | 1.Institute of Mathematics and Mechanics,Ural Branch of the Russian Academy of Sciences,Yekaterinburg,Russia |
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Abstract: | Based on the approach of the theory of dynamic inversion, the problem of continuous estimation of an unknown deterministic disturbance in an Ito stochastic differential equation is investigated with the use of inaccurate measurements of the current phase state. An auxiliary model equation with a control approximating the unknown input is derived. The suggested solution algorithm is constructive; an estimate for its convergence rate is written explicitly. |
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