Minimax a posteriori estimation of the Markov processes with finite state spaces

DOI10.1007/S10513-008-2005-8zbMath1156.93034OpenAlexW4240245171MaRDI QIDQ1002871

Andrey V. Borisov

Publication date: 26 February 2009

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10513-008-2005-8

zbMATH Keywords

Markov processesconditional expectations of the accessible observationsfiltering and identificationobservation systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (8)

Pathwise stochastic control with applications to robust filtering ⋮ Minimax estimation methods under ellipsoidal constraints ⋮ A robust Kalman-Bucy filtering problem ⋮ The Wonham filter under uncertainty: A game-theoretic approach ⋮ Minimax estimation in systems of observation with Markovian chains by integral criterion ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ Parameter Uncertainty in the Kalman--Bucy Filter ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty

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