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A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process
Kybernetika, Tome 30 (1994) no. 3, pp. 233-244 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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Classification : 60G35, 93E11 
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     author = {Browne, P. J.},
     title = {A comparison of algorithms to filter noisy observations of a linear differential system driven by {Brownian} motion and a simple {Markov} switching process},
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     year = {1994},
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Browne, P. J. A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process. Kybernetika, Tome 30 (1994) no. 3, pp. 233-244. http://geodesic.mathdoc.fr/item/KYB_1994_30_3_a3/

[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.

[2] H. A. P. Blom: Detection Filter Representations for Markov Jump Diffusions. NLR, TR, 82019 U, 1982.

[3] R. J. Elliott: Stochastic Calculus and Applications. Springer-Verlag, Berlin 1982. | MR | Zbl

[4] A. H. Jazwinski: Stochastic Processes and Filtering Theory. Academic Press, New York 1970. | Zbl

[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. | MR | Zbl