Complex processing of data from measuring devices and indicators in conditionally Markov structure dynamic systems (Q1108996)

A stochastic differential system is considered, where the integrals are of Stratonovich type and the system's change of structure is described by a conditional Markov chain. In addition to processing of data from noisy measurements, signals which are stochastically related to the state of the system structure are used. They are called indicators. This complex filtering leads to an equation which is an extension of the Stratonovich- Kushner equation. Equations for the state probabilities of structures and the moments of the phase coordinates are also obtained. As an illustration an example is considered.