Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise

DOI10.1137/S0363012997315440zbMath0911.93050OpenAlexW1978672152MaRDI QIDQ4210182

Qing Zhang

Publication date: 21 September 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012997315440

zbMATH Keywords

nonlinear filteringhybrid systemswitching diffusionMarkov perturbationinteracting multiple modelsmall observation noisenearly optimal control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Model systems in control theory (93C99)

Related Items (10)

On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching ⋮ An alternative sequential method for the state estimation of a partially observed SETAR(1) process ⋮ Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel ⋮ On hybrid control of a class of stochastic non-linear Markovian switching systems ⋮ On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain ⋮ A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching ⋮ Optimal filtering of discrete-time hybrid systems ⋮ Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods^∗

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