Finite dimensional predictors for hidden Markov chains

DOI10.1016/0167-6911(92)90083-5zbMath0762.60030OpenAlexW1997139436MaRDI QIDQ1195844

Lakhdar Aggoun, Robert J. Elliott

Publication date: 4 January 1993

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(92)90083-5

zbMATH Keywords

Gaussian noiseoccupation timefiltering equationfinite-dimensional normalized and unnormalized predictors

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cites Work

• A special semimartingale derivation of smoothing and prediction equations
• A partially observed control problem for Markov chains
• A nonlinear fixed-lag smoother for finite-state Markov processes
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering

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