Discrete-time approximation of Wonham filters

DOI10.1007/S11768-004-0017-7MaRDI QIDQ4915277zbMATH OpenOpenAlexFDO

Authors George Yin, Q. Zhang, Yuanjin Liu

Publication date 10 April 2013

Published in Journal of Control Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11768-004-0017-7

zbMATH Keywords

approximationweak convergenceWonham filter

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete-time control/observation systems (93C55)

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Cited in

(11)

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• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
• Exact hybrid filters in discrete time
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• Two-Time-Scale Approximation for Wonham Filters
• Uniform approximations of discrete-time filters
• A general recursive discrete-time filter
• Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
• Analysis of algorithms of numerical implementations for the Wonham filter under uncertainty in measurements noise covariance

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