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Optimal Interpolation for Linear Stochastic Systems
SIAM Journal on Control and Optimization, 1984The author solves the following interpolation problem: determine the best least-squares estimate of a Gauss-Markov state process X, generated by \(dX=AXdt+BdW\), given the increments on the intervals \([0,T_ 1]\) and \([T_ 2,T]\) (with ...
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