Asymptotic Study Of Estimation In Filtering For Linear Systems With Jump Parameters

Francois Dufour,Robert J Elliott,Ahchung Tsoi

PROCEEDINGS OF THE 34TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4（1995）

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摘要

In this work, we study the nonlinear filtering problem for a linear diffusion process X, the coefficients of which are fed by a Markovian jump process Z. The state process (Z,X) is assumed to be observed with additive observation noise of order /spl epsiv/. We derive approximate finite dimensional filters which are solutions of stochastic differential equations driven by the observation process; they are asymptotically efficient as /spl epsiv//spl rarr/0. Upper bounds for the corresponding errors are given.

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关键词

linear system,upper bound,linear systems,mathematics,diffusion,differential equations,parameter estimation,nonlinear filter,diffusion process,stochastic differential equation,stochastic resonance,stochastic differential equations,markov processes,filtering

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