Discrete-time coupled Riccati equations for systems with Markov switching parameters (Q1900417)

Filtering and control of discrete-time linear systems with Markov switches lead to systems of discrete-time coupled Riccati equations. Such a set of equations is studied in order to establish duality between the two problems. It is shown that a duality concept can be derived after introducing a generalized concept of detectability and stabilizability by taking into account the transition probabilities.