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Backward representation of Markov jump processes and related problems. II. Optimal nonlinear estimation

Abstract

Solutions of the problem of optimal nonlinear smoothing (interpolation) of the state of a special Markov jump process from indirect observations in Wiener noise were obtained. The optimal nonlinear estimates were examined and compared with the corresponding optimal linear estimates described in Part I.

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Original Russian Text © A.V. Borisov, 2006, published in Avtomatika i Telemekhanika, 2006, No. 9, pp. 120–141.

This work was supported in part by the Russian Foundation for Basic Research, project no. 05-01-00508a, and OITVS Project “Fundamental Algorithms for Information Technologies,” Russian Academy of Sciences, project no. 1.5.

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Borisov, A.V. Backward representation of Markov jump processes and related problems. II. Optimal nonlinear estimation. Autom Remote Control 67, 1466–1484 (2006). https://doi.org/10.1134/S0005117906090098

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PACS number

  • 05.40.-a