Filtration of a random process in a statistically uncertain linear stochastic differential system

Minimax filtration of a process in a stochastic linear differential system with uncertain perturbation intensities for dynamics and observation models is studied. The filter is optimized by an integral quality criterion. Minimax filtering equations are derived from the solution of the dual optimization problem. A numerical filter designing method is described and its convergence is proved. Results of numerical experiments are given.

Presented by the member of Editorial Board: A. V. Nazin