A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process
Kybernetika (1994)
- Volume: 30, Issue: 3, page 233-244
- ISSN: 0023-5954
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topBrowne, 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 30.3 (1994): 233-244. <http://eudml.org/doc/28326>.
@article{Browne1994,
author = {Browne, P. J.},
journal = {Kybernetika},
keywords = {filtering; Brownian motion; innovation process; Gaussian observation noise; Kalman-Bucy filter},
language = {eng},
number = {3},
pages = {233-244},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process},
url = {http://eudml.org/doc/28326},
volume = {30},
year = {1994},
}
TY - JOUR
AU - Browne, P. J.
TI - A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process
JO - Kybernetika
PY - 1994
PB - Institute of Information Theory and Automation AS CR
VL - 30
IS - 3
SP - 233
EP - 244
LA - eng
KW - filtering; Brownian motion; innovation process; Gaussian observation noise; Kalman-Bucy filter
UR - http://eudml.org/doc/28326
ER -
References
top- 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. (1986)
- H. A. P. Blom, Detection Filter Representations for Markov Jump Diffusions, NLR, TR, 82019 U, 1982. (1982)
- R. J. Elliott, Stochastic Calculus and Applications, Springer-Verlag, Berlin 1982. (1982) Zbl0503.60062MR0678919
- A. H. Jazwinski, Stochastic Processes and Filtering Theory, Academic Press, New York 1970. (1970) Zbl0203.50101
- 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. (1975) Zbl0308.60023MR0406643
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