Control of discrete-time HMM partially observed under fractional Gaussian noises

DOI10.1016/J.SYSCONLE.2011.02.012zbMath1215.93080OpenAlexW2014532618MaRDI QIDQ539919

Tak Kuen Siu, Robert J. Elliott

Publication date: 31 May 2011

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2011.02.012

zbMATH Keywords

dynamic programminghidden Markov modelsminimum principlefractional Gaussian noisesdiscrete-time controlunnormalized conditional probability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Kalman type filter under stationary noises

Cites Work

• A filter for a hidden Markov chain observed in fractional Gaussian noise
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing in discrete time
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