IDEAS home Printed from https://ideas.repec.org/h/spr/spochp/978-1-4614-8286-4_3.html
   My bibliography  Save this book chapter

Filtration and Prediction Problems for Stochastic Fields

In: Estimation and Control Problems for Stochastic Partial Differential Equations

Author

Listed:
  • Pavel S. Knopov

    (V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine)

  • Olena N. Deriyeva

    (V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine)

Abstract

In this chapter we investigate different models of filtration and prediction for stochastic fields generated by some stochastic differential equations. We derive stochastic integro-differentiation equations for an optimal in the mean square sense filter. We also suggest different approaches for finding the best linear estimate for a stochastic field basing on its observations in certain domain. Besides, we investigate the duality of the filtration problem and a certain optimal control problem. This chapter is based on the results published in [3, 5, 11, 12, 17, 41–44, 46, 69].

Suggested Citation

  • Pavel S. Knopov & Olena N. Deriyeva, 2013. "Filtration and Prediction Problems for Stochastic Fields," Springer Optimization and Its Applications, in: Estimation and Control Problems for Stochastic Partial Differential Equations, edition 127, chapter 0, pages 93-134, Springer.
    • Handle: RePEc:spr:spochp:978-1-4614-8286-4_3
    DOI: 10.1007/978-1-4614-8286-4_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:spochp:978-1-4614-8286-4_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.