Optimal linear filtering for systems of stochastic differential equations with Poisson perturbations

DOI10.1007/S10559-012-9390-2zbMATH Open1275.93059OpenAlexW2087633109MaRDI QIDQ380653FDOQ380653

Authors: A. Y. Dovgun, V. K. Yasins'kyj, E. V. Yasinskij 

Publication date: 14 November 2013

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-012-9390-2

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zbMATH Keywords

Kalman-Bucy filterRiccati equationoptimal filterPoisson perturbationsstochastic dynamic systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Perturbations in control/observation systems (93C73)

Cites Work

• On a Matrix Riccati Equation of Stochastic Control
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• Stability of stochastic dynamic random-structure systems with aftereffect and Markov switchings

Cited In (13)

• Filtering in stochastic dynamic systems with anomalous interference in the observation channel. I: Continuous-time systems
• Title not available (Why is that?)
• Solving approximately an optimal nonlinear filtering problem for stochastic differential systems by statistical modeling
• Title not available (Why is that?)
• Simulation and optimal filtering for linear systems with Poisson white noise
• Title not available (Why is that?)
• Linearized filtering of affine processes using stochastic Riccati equations
• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Optimal evaluation in dynamic systems having waveform disturbances
• Stability of the filter with Poisson observations
• Computational suboptimal filter for a class of Wiener-Poisson driven stochastic processes
• Title not available (Why is that?)
• \(L_2\)-\(L_\infty\) filtering for stochastic systems driven by Poisson processes and Wiener processes

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