The Wonham Filter With Random Parameters: Rate of Convergence and Error Bounds

DOI10.1109/TAC.2005.864192MaRDI QIDQ5281784zbMATH OpenOpenAlexFDO

Authors

Publication date 27 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2005.864192

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cited in

(4)

• Robust filtering and propagation of uncertainty in hidden Markov models
• Block trading: building up a stock position under a regime switching model
• Wonham filtering by observations with multiplicative noises
• Model robustness of finite state nonlinear filtering over the infinite time horizon

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