Filtration of random solutions of a system of linear difference equations with coefficients depending on a Markov chain

DOI10.1007/BF02487398zbMath0948.60058MaRDI QIDQ4705253

A. L. Lapshin

Publication date: 19 December 1999

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

filtrationMarkov chainlinear difference equationsoptimal estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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