Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
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Publication:4442964
DOI10.1137/S0363012901388464zbMath1030.60018MaRDI QIDQ4442964
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Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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Sequences of random matrices modulated by a discrete-time Markov chain* ⋮ \(H_{\infty }\) filtering with randomly occurring sensor saturations and missing measurements ⋮ Regularity and recurrence of switching diffusions ⋮ Some results on almost sure stability of non-autonomous stochastic differential equations with Markovian switching ⋮ Discrete-time approximation of Wonham filters ⋮ Numerical method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Balanced realizations of regime-switching linear systems ⋮ Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time ⋮ Near-optimal controls of random-switching LQ problems with indefinite control weight costs
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