Nonlinear filtering of systems governed by Ito differential equations with jump parameters (Q1080553)

The filtering problem for stochastic processes governed by nonlinear stochastic differential equations with drift and diffusion parameters perturbed by a temporally homogeneous Markov chain is considered. The observation process is governed by an Itô differential equation with parameters which depend only on the state of the system. Girsanov transformation is used to derive filter equations for the cases where the drift and diffusion terms are perturbed by either a Markov chain or a periodically observable Markov chain or a deterministic process.