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  • Search: subject:"Multiplicative noise"
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Year of publication
Subject
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multiplicative noise 2 Langevin equation 1 State estimation 1 numerical methods 1 stochastic differential equation 1 uncertain observations 1
Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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García-Muñoz, Teresa M. 1 Solomon, Ovidiu 1 Sánchez-González, Carlos 1
Institution
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Departamento de Teoría e Historia Económica, Facultad de Ciencias Económicas y Empresariales 1
Published in...
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Romanian Economic Business Review 1 ThE Papers 1
Source
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RePEc 2
Showing 1 - 2 of 2
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NUMERICAL METHODS FOR SOLVING SDES CASE STUDY
Solomon, Ovidiu - In: Romanian Economic Business Review 6 (2012) 2, pp. 359-367
multiplicative noise. The exact solution is obtained by applying the Ito's lemma. It is worth mentioning that not always the …
Persistent link: https://www.econbiz.de/10010618178
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Cover Image
Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises
García-Muñoz, Teresa M.; Sánchez-González, Carlos - Departamento de Teoría e Historia Económica, Facultad … - 2009
This paper describes a design for a least mean square error estimator in discrete time systems where the components of the state vector, in measurement equation, are corrupted by different multiplicative noises in addition to observation noise. We show how known results can be considered a...
Persistent link: https://www.econbiz.de/10008469051
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