Minimax a posteriori estimation of the Markov processes with finite state spaces

DOI10.1007/S10513-008-2005-8MaRDI QIDQ1002871zbMATH OpenOpenAlexFDO

Authors Andrey V. Borisov

Publication date 26 February 2009

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10513-008-2005-8

zbMATH Keywords

Markov processesconditional expectations of the accessible observationsfiltering and identificationobservation systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cited in

(11)

• Minimax estimation in systems of observation with Markovian chains by integral criterion
• Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations
• Minimax a posteriori estimation in the hidden Markov models
• Parameter uncertainty in the Kalman-Bucy filter
• Kalman-Bucy filtering and minimum mean square estimator under uncertainty
• States of a map flow of events: Optimal estimation by the maximal a posteriori state probability criterion
• Minimax estimation methods under ellipsoidal constraints
• The Wonham filter under uncertainty: A game-theoretic approach
• Robust filtering and propagation of uncertainty in hidden Markov models
• Pathwise stochastic control with applications to robust filtering
• A robust Kalman-Bucy filtering problem

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