Wonham filtering by observations with multiplicative noises

DOI10.1134/S0005117918010046zbMath1391.93227OpenAlexW2790682318MaRDI QIDQ1641944

Y. Aharonov

Publication date: 20 June 2018

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

Full work available at URL: https://doi.org/10.1134/s0005117918010046

zbMATH Keywords

Markov jump processoptimal nonlinear filteringintegral representation of a martingalemultiplicative noises in observationsright continuous filtration

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Stochastic systems in control theory (general) (93E03)

Related Items (2)

\(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes ⋮ \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. II: Numerical analysis of particular realizations schemes

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