ON A STOCHASTIC LINEAR DYNAMICAL SYSTEM DRIVEN BY A VOLTERRA PROCESS

Authors

  • Tuong Manh Tran

DOI:

https://doi.org/10.15625/1813-9663/37/2/15340

Abstract

The aim of this note is considering a dynamical system expressed by a Langevin equation driven by a Volterra process. An Ornstein - Uhlenbeck process as the solution of this kind of equation is described and a problem of state estimation (filtering) for this dynamical system is investigated as well.

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Published

2021-06-07

Issue

Section

Cybernetics