Finite dimensional optimal filters for a class of ltô- processes with jumping parameters

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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A survey of design methods for failure detection in dynamic systems
Algebraic Structure and Finite Dimensional Nonlinear Estimation
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Cited In (32)

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Asymptotic properties of parabolic systems for null-recurrent switching diffusions
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Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
Optimal threshold dividend strategies under the compound Poisson model with regime switching
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Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
Stability with general decay rates of stochastic differential delay equations with Poisson jumps and Markovian switching
EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
Nonlinear filtering problems with finite-dimensional matrix estimation algebras
Stabilization of two kinds of nonhomogeneous Markovian jump systems via sliding mode control
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
In memoriam: Tomas Björk (1947--2021). On his career and beyond
The filtering problem for continuous-time linear systems with Markovian switching coefficients
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