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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. (English). Kybernetika, vol. 30 (1994), issue 3, pp. 233-244
MSC: 60G35, 93E11 | MR 1291926 | Zbl 0811.60030
References:
[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 0678919 | Zbl 0503.60062
[4] A. H. Jazwinski: Stochastic Processes and Filtering Theory. Academic Press, New York 1970. Zbl 0203.50101
[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 0406643 | Zbl 0308.60023
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