We consider an open model possessing a Markovian quantum stochastic limit and derive the limit stochastic Schrödinger equations for the wave function conditioned on indirect observations using only the von Neumann projection postulate. We show that the diffusion (Gaussian) situation is universal as a result of the central limit theorem with the quantum jump (Poissonian) situation being an excep...

Markovian bridges driven by Lévy processes are constructed from the data of an initial and a final distribution, as particular cases of a family of time reversible diffusions with jumps. The processes obtained in this way are essentially the only (not necessarily continuous) Markovian Bernstein processes. These processes are also characterized using the theory of stochastic control for jump pro...

In this paper we study the stochastic optimal (LQG) tracking problems with preview for a class of linear continuous-time Markovian jump systems. The systems are described as continuous-time switching systems with Markovian mode transitions. Necessary and sufficient conditions for the solvability of our LQG tracking problems are given by coupled Riccati differential equations and coupled scalar ...

Stability of stochastic di#erential equations with Markovian switching has recently been discussed by many authors, for example, Basak et al. (J. Math. Anal. Appl. 202 (1996) 604), Ji and Chizeck (IEEE Trans. Automat. Control 35 (1990) 777), Mariton (Jump Linear System in Automatic Control, Marcel Dekker, New York), Mao (Stochastic Process. Appl. 79 (1999) 45), Mao et al. (Bernoulli 6 (2000) 73...

This paper focuses on the performance and the robustness analysis of stochastic jump linear systems. The realization of the state trajectory under stochastic jump processes becomes random variables, which brings forth the probability distributions for the system state. Therefore, a proper metric is necessary to measure the system performance with respect to stochastic switching. In this perspec...