| Title:
|
A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process (English) |
| Author:
|
Browne, P. J. |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
30 |
| Issue:
|
3 |
| Year:
|
1994 |
| Pages:
|
233-244 |
| . |
| Category:
|
math |
| . |
| MSC:
|
60G35 |
| MSC:
|
93E11 |
| idZBL:
|
Zbl 0811.60030 |
| idMR:
|
MR1291926 |
| . |
| Date available:
|
2009-09-24T18:47:05Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/125171 |
| . |
| Reference:
|
[1] H. A. P. Blom: Overlooked potential of systems with Markovian ceofficients.In: Proceedings of 25th Conference on Decision and Control, Athens, Greece, December 1986, pp. 1758-1764. |
| Reference:
|
[2] H. A. P. Blom: Detection Filter Representations for Markov Jump Diffusions.NLR, TR, 82019 U, 1982. |
| Reference:
|
[3] R. J. Elliott: Stochastic Calculus and Applications.Springer-Verlag, Berlin 1982. Zbl 0503.60062, MR 0678919 |
| Reference:
|
[4] A. H. Jazwinski: Stochastic Processes and Filtering Theory.Academic Press, New York 1970. Zbl 0203.50101 |
| Reference:
|
[5] H. Kwakernaak: Filtering for systems excited by Poisson white noise.In: Control Theory, Numerical Methods and Computer System Modeling (A. Bensousan and J. L. Lions, eds., Lecture Notes in Economics and Mathematical Systems 107), Springer-Verlag, Berlin 1975, pp. 468-492. Zbl 0308.60023, MR 0406643 |
| . |
