The Optimal Filtering of Markov Jump Processes in Additive White Noise
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منابع مشابه
On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain
We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonli...
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