Geodesic
Dynamic reconstruction of disturbances in stochastic differential equations
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 51 (2011) no. 10, pp. 1806-1815

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The reconstruction of the unknown deterministic disturbance in an Ito stochastic differential equation is studied using the Osipov–Kryazhimskii dynamic inversion theory. Inexact discrete observations of the current phase state are used as input data. A finite-step solving algorithm based on the method of auxiliary controllable models is proposed. Its convergence is proved, and the compatibility conditions for the parameters are given. 
@article{ZVMMF_2011_51_10_a5,
     author = {V. L. Rozenberg},
     title = {Dynamic reconstruction of disturbances in stochastic differential equations},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {1806--1815},
     publisher = {mathdoc},
     volume = {51},
     number = {10},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2011_51_10_a5/}
}
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V. L. Rozenberg. Dynamic reconstruction of disturbances in stochastic differential equations. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 51 (2011) no. 10, pp. 1806-1815. http://geodesic.mathdoc.fr/item/ZVMMF_2011_51_10_a5/