• Conference Object  

      Conditional moment generating functions for integrals and stochastic integrals 

      Charalambous, Charalambos D.; Elliott, Robert J.; Krishnamurthy, Vikram (IEEE, 1997)
      In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...