Specific optimal estimation of special Markov jump processes

DOI10.1134/S0005117907030046MaRDI QIDQ2371600zbMATH OpenOpenAlexFDO

Authors Andrey V. Borisov

Publication date 5 July 2007

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117907030046

zbMATH Keywords

filtering problem of states in Markov jump processespolynomial observation functions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cites work

• Analysis and estimation of the states of special jump Markov processes. I: Martingale representation
• Approximate nonlinear filtering by projection on exponential manifolds of densities
• Brockett's Problem of Classification of Finite-Dimensional Estimation Algebras for Nonlinear Filtering Systems
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• scientific article; zbMATH DE number 3259552 (Why is no real title available?)
• Optimal filtering in systems with degenerate noises in observations
• Polynomial filtering of discrete-time stochastic linear systems with multiplicative state noise
• Stochastic partial differential equations and filtering of diffusion processes

Cited in

(16)

• On some filtration procedure for jump Markov process observed in white Gaussian noise
• Jump-diffusion Markov processes on orthogonal groups for object pose estimation
• Analysis and estimation of the states of special jump Markov processes. I: Martingale representation
• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. II: Numerical analysis of particular realizations schemes
• Controllable Markov jump processes. I: Optimum filtering based on complex observations
• Analysis and estimation of the states of special jump Markov processes. II: Optimal filtration in Wiener noise
• Analysis and filtration of special discrete-time Markov processes. II: Optimal filtration
• Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
• scientific article; zbMATH DE number 2015589 (Why is no real title available?)
• scientific article; zbMATH DE number 1537439 (Why is no real title available?)
• Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering
• State Analysis of Hidden Markov Models Governed by Special Jump Processes
• Linear Filtering for a Class of Jump Processes Arising in Navigation Systems
• Filtering of the Markov jump process given the observations of multivariate point process
• Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
• Backward representation of Markov jump processes and related problems. II. Optimal nonlinear estimation

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