The filtering problem for continuous-time linear systems with Markovian switching coefficients

DOI10.1016/0167-6911(94)90099-XzbMath0808.93061OpenAlexW2084050947MaRDI QIDQ5906641

François Dufour, P. Bertrand

Publication date: 2 January 1995

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

Full work available at URL: https://doi.org/10.1016/0167-6911(94)90099-x

zbMATH Keywords

nonlinear filteringcontinuous-timelinear hybrid systemsjump parametersfinite optimal filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

Related Items (2)

Fast Switching Detector-Based $H_2$ Control of Markov Jump Linear Systems with Multiplicative Noises ⋮ On an infinite dimensional perturbed Riccati differential equation arising in stochastic control

Cites Work

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• Hybrid adaptive control
• An image-based filter for discrete-time Markovian jump linear systems
• Relative semi-invariants in the filtration of processes with step components
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• Discrete-time point process filter for mode estimation
• Nonlinear filtering for systems with random structure

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