Optimal state filtering of controllable systems with random structure

DOI10.1134/S1064230707030021zbMath1297.93163OpenAlexW2085092364MaRDI QIDQ465293

A. I. Stefanovich, Andrey V. Borisov

Publication date: 31 October 2014

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230707030021

zbMATH Keywords

optimal filteringMarkov jump processesFokker-Planck-Kolmogorov equationsstochastic differential systems with random structureZakai equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic systems in control theory (general) (93E03) Continuous-time Markov processes on discrete state spaces (60J27) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (5)

Unnamed Item ⋮ Sampling reconstruction of Markov processes with a finite number of states ⋮ Sampling and reconstruction of piecewise constant stochastic processes with Erlang stay time in states ⋮ Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization ⋮ An optimal recurrent logical-dynamical filter of a high order and its covariance approximations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
• Switching processes: Averaging principle, diffusion approximation and applications
• Preliminary distribution analysis for the states of special control systems with random structure
• Robust stabilization of random-structure systems via switchable static output feedback
• Stochastic partial differential equations and filtering of diffusion processes
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Linear Parabolic Stochastic PDE and Wiener Chaos
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Multiple-model estimation with variable structure
• Stochastic volatility models as hidden Markov models and statistical applications

This page was built for publication: Optimal state filtering of controllable systems with random structure