Consider the stochastic scalar system with measurement dyt = ext dt dvt, where xt is propagated by the stochastic differential equation dxt = dwt, where the initial condition x0 is normally distributed with mean x¯0 and variance X0, wt is a Brownian motion process with PSD W, and vt is a Brownian motion process with PSD V. 

(a) Take the Ito derivative of ˆ z = ext. 

(b) Write down the stochastic differential equation for z.

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a Taking the Ito derivative of z ext yields dzt ext dt edwtdt b The ... View the full answer