Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise

DOI10.1137/S0363012997315440zbMATH Open0911.93050OpenAlexW1978672152MaRDI QIDQ4210182FDOQ4210182

Authors Q. Zhang 

Publication date 21 September 1998

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012997315440

zbMATH Keywords

hybrid systemnonlinear filteringMarkov perturbationswitching diffusioninteracting multiple modelsmall observation noisenearly optimal control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Model systems in control theory (93C99) Optimal stochastic control (93E20)

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Cited in

(12)

• An alternative sequential method for the state estimation of a partially observed SETAR(1) process
• On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
• Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
• A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
• Exponential contraction of switching jump diffusions with a hidden Markov chain
• On hybrid control of a class of stochastic non-linear Markovian switching systems
• Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
• Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods^∗
• On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
• Least squares estimators for stochastic differential equations with Markovian switching
• Optimal filtering of discrete-time hybrid systems
• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions

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