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This paper proposes a robust global linearization filter design for a nonlinear stochastic system with exogenous disturbance. The nonlinear dynamic system is modeled by Itocirc-type stochastic differential equations. For a general nonlinear stochastic system with exogenous disturbance, the robust Hinfin filter can be obtained by solving a second-order nonlinear Hamilton-Jacobi inequality (HJI). In...
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