\(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. II: Numerical analysis of particular realizations schemes

DOI10.1134/S0005117920120024zbMath1455.60064OpenAlexW3126974974MaRDI QIDQ2229543

Yanyan Li

Publication date: 18 February 2021

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

Full work available at URL: https://doi.org/10.1134/s0005117920120024

zbMATH Keywords

Markov jump processnumerical integration schemestable estimatemaximum a posteriori probability estimate

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Jump processes on general state spaces (60J76)

Related Items (3)

Stabilization and tracking of the trajectory of a linear system with jump drift ⋮ \( \mathcal{L}_1\)-optimal filtering of Markov jump processes. III: Identification of system parameters ⋮ Practical implementation of the solution of the stabilization problem for a linear system with discontinuous random drift by indirect observations

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Wonham filtering by observations with multiplicative noises
• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
• Advanced Time Series Data Analysis

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