Optimal linear filtering for systems of stochastic differential equations with Poisson perturbations

DOI10.1007/s10559-012-9390-2zbMath1275.93059OpenAlexW2087633109MaRDI QIDQ380653

A. Y. Dovgun, E. V. Yasinskij, V. K. Yasinskij

Publication date: 14 November 2013

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-012-9390-2

zbMATH Keywords

Riccati equationoptimal filterKalman-Bucy filterPoisson perturbationsstochastic dynamic systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Perturbations in control/observation systems (93C73) Linear systems in control theory (93C05)

Cites Work

• Stability of stochastic dynamic random-structure systems with aftereffect and Markov switchings
• On a Matrix Riccati Equation of Stochastic Control
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