Computational suboptimal filter for a class of Wiener-Poisson driven stochastic processes

DOI10.1023/A:1008254602650MaRDI QIDQ1363314zbMATH OpenFDO

Authors Raghib Abu-Saris, Floyd B. Hanson

Publication date 7 August 1997

Published in Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1008254602650

zbMATH Keywords

jump diffusionssuboptimal filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Review text

Using some heuristic arguments, the authors derive a suboptimal filter in the case when both the system and the observations have not too strong nonlinearities and are driven by Wiener-Poisson processes.

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Cited in

(2)

• Stochastic H₂/H_ control for discrete-time mean-field systems with Poisson jump
• Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements

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