This paper describes a design for a least mean square error estimator in discrete time systems where the components of the state vector, in measurement equation, are corrupted by different multiplicative noises in addition to observation noise. We show how known results can be considered a...

The Euler - Maruyama and Milstein methods are applied to approximate the solution of linearly Langevin equation with multiplicative noise. The exact solution is obtained by applying the Ito's lemma. It is worth mentioning that not always the discretization used to find the solutions of SDEs...