Geodesic
On the problem of continuous estimation of a~disturbance in a~stochastic differential equation
Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 17 (2011) no. 1, pp. 217-228

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Basing on the approach of the theory of dynamic inversion, the problem of continuous estimation of an unknown deterministic disturbance in an Ito stochastic differential equation is investigated with the use of inaccurate measurements of the current phase state. An auxiliary model equation with a control approximating the unknown input is derived. A suggested solving algorithm is constructive; its convergence rate estimate is explicitly written.
Keywords: continuous estimation of disturbance, stochastic differential equation, method of auxiliary models. 
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     author = {V. L. Rozenberg},
     title = {On the problem of continuous estimation of a~disturbance in a~stochastic differential equation},
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V. L. Rozenberg. On the problem of continuous estimation of a~disturbance in a~stochastic differential equation. Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 17 (2011) no. 1, pp. 217-228. http://geodesic.mathdoc.fr/item/TIMM_2011_17_1_a17/