Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains

DOI10.1137/S0363012901388464MaRDI QIDQ4442964zbMATH OpenFDO

Authors

Publication date 8 January 2004

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

Full work available at URL https://doi.org/10.1137/S0363012901388464

zbMATH Keywords

filteringMarkov chainnear complete decomposabilityweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Filtering in stochastic control theory (93E11)

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Cited in

(11)

• Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
• Numerical method for stationary distribution of stochastic differential equations with Markovian switching
• A note about the filtering problem in discrete time making use of weak convergence of probability measures
• Regularity and recurrence of switching diffusions
• Two-time-scale Hybrid Filters: Near Optimality
• \(H_{\infty }\) filtering with randomly occurring sensor saturations and missing measurements
• Discrete-time approximation of Wonham filters
• Some results on almost sure stability of non-autonomous stochastic differential equations with Markovian switching
• Sequences of random matrices modulated by a discrete-time Markov chain*
• Near-optimal controls of random-switching LQ problems with indefinite control weight costs
• Balanced realizations of regime-switching linear systems

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