Discrete-time approximation of Wonham filters

DOI10.1007/s11768-004-0017-7zbMath1260.60148OpenAlexW2043004837MaRDI QIDQ4915277

George Yin, Yuanjin Liu, Qing Zhang

Publication date: 10 April 2013

Published in: Journal of Control Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11768-004-0017-7

zbMATH Keywords

weak convergenceapproximationWonham filter

Mathematics Subject Classification ID

Related Items (3)

Stabilization and tracking of the trajectory of a linear system with jump drift ⋮ \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes ⋮ Practical implementation of the solution of the stabilization problem for a linear system with discontinuous random drift by indirect observations

Cites Work

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• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
• Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
• Singularly Perturbed Discrete-Time Markov Chains
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering

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