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Avtomatika i Telemekhanika, 2004, Issue 5, Pages 61–76 (Mi at1576)  

This article is cited in 11 scientific papers (total in 11 papers)

Stochastic Systems

Analysis and estimation of the states of special jump Markov processes. II. Optimal filtration in wiener noise

A. V. Borisovab

a Institute for Problems of Informatics RAS
b Moscow Aviation Institute (State University of Aerospace Technologies)
References:
Abstract: The second part was devoted to the rms-optimal filtration of the states of the Markov jump processes in continuous time which generalize the finite-state Markov processes. Equations for the conditional expectations and the probability density function were obtained. The Zakai equations for the corresponding unnormalized characteristics also were obtained. The proposed best nonlinear estimates were compared by way of a numerical example with the best linear estimates of the Kalman–Bucy filtration.
Presented by the member of Editorial Board: B. M. Miller

Received: 01.07.2003
English version:
Automation and Remote Control, 2004, Volume 65, Issue 5, Pages 741–754
DOI: https://doi.org/10.1023/B:AURC.0000028322.97957.ca
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Borisov, “Analysis and estimation of the states of special jump Markov processes. II. Optimal filtration in wiener noise”, Avtomat. i Telemekh., 2004, no. 5, 61–76; Autom. Remote Control, 65:5 (2004), 741–754
Citation in format AMSBIB
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\by A.~V.~Borisov
\paper Analysis and estimation of the states of special jump Markov processes. II.~Optimal filtration in wiener noise
\jour Avtomat. i Telemekh.
\yr 2004
\issue 5
\pages 61--76
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\zmath{https://zbmath.org/?q=an:1091.60021}
\transl
\jour Autom. Remote Control
\yr 2004
\vol 65
\issue 5
\pages 741--754
\crossref{https://doi.org/10.1023/B:AURC.0000028322.97957.ca}
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  • https://www.mathnet.ru/eng/at1576
  • https://www.mathnet.ru/eng/at/y2004/i5/p61
  • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Avtomatika i Telemekhanika
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