Kalman-Bucy Filter in Continuous Time
| Thesis title in Czech: | Kalmanův-Bucyho filtr ve spojitém čase |
|---|---|
| Thesis title in English: | Kalman-Bucy Filter in Continuous Time |
| Key words: | Frakcionální Brownův pohyb, Kalmanův-Bucyho filtr, lineární filtrace, stochastické diferenciální rovnice |
| English key words: | Fractional Brownian Motion, Kalman-Bucy Filter, Linear Filtering, Stochastic Differential Equations |
| Academic year of topic announcement: | 2018/2019 |
| Thesis type: | diploma thesis |
| Thesis language: | angličtina |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | prof. RNDr. Bohdan Maslowski, DrSc. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 24.09.2018 |
| Date of assignment: | 24.09.2018 |
| Confirmed by Study dept. on: | 19.11.2018 |
| Date and time of defence: | 12.06.2019 08:00 |
| Date of electronic submission: | 06.05.2019 |
| Date of submission of printed version: | 10.05.2019 |
| Date of proceeded defence: | 12.06.2019 |
| Opponents: | RNDr. Petr Čoupek, Ph.D. |
| Advisors: | RNDr. Vít Kubelka, Ph.D. |
| Guidelines |
| Práce bude pojednávat o problému filtrace ve spojitém čase, kdy signál splňuje lineární stochastickou diferenciální rovnici a pozorování je lineární transformací signálu s náhodnými poruchami. |
| References |
| 1. R.S.Liptser and A.N.Shiryayev, Statistics of random processes, Springer-Verlag, 2001 (2nd Edition)
2. W.H.Fleming and R.W.Rishel, Deterministic and Stochastic Optimal Control, Springer-Verlag, 1975 3. B. Fristedt, N.Jain and N.Krylov, Filtering and Prediction: A Primer, Student Mathematical Library, AMS, 2007 |