Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process

DOI10.1016/S0167-6911(97)00016-9zbMath0901.93069OpenAlexW2058812922MaRDI QIDQ1391289

D. Massart

Publication date: 22 July 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-6911(97)00016-9

zbMATH Keywords

Kalman filteringhidden Markov modelsfinite-dimensional filtersjump processlinear and nonlinear filteringMarkovian switching coefficients

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

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Cites Work

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• Combined filtering and parameter estimation: Approximations and robustness
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• Point processes and queues. Martingale dynamics
• A partially observed control problem for Markov chains
• Backward representation for nonstationary Markov processes with finite state space
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• The filtering problem for continuous-time linear systems with Markovian switching coefficients

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