Analysis and estimation of the states of special jump Markov processes. II: Optimal filtration in Wiener noise

DOI10.1023/B:AURC.0000028322.97957.CAMaRDI QIDQ2487698zbMATH OpenOpenAlexFDO

Authors Andrey V. Borisov

Publication date 8 August 2005

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

Full work available at URL https://doi.org/10.1023/b:aurc.0000028322.97957.ca

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

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Cited in

(10)

• On some filtration procedure for jump Markov process observed in white Gaussian noise
• Analysis and estimation of the states of special jump Markov processes. I: Martingale representation
• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. II: Numerical analysis of particular realizations schemes
• Specific optimal estimation of special Markov jump processes
• Analysis and filtration of special discrete-time Markov processes. II: Optimal filtration
• scientific article; zbMATH DE number 3875109 (Why is no real title available?)
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• Filtering of the Markov jump process given the observations of multivariate point process
• Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
• Backward representation of Markov jump processes and related problems. II. Optimal nonlinear estimation

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