A. V. Borisov, “Backward representation of Markov jump processes and related problems. I. Optimal linear estimation”, Avtomat. i Telemekh., 2006, Issue 8,Pages <nobr>51

This article is cited in 4 papers

Stochastic Systems

Backward representation of Markov jump processes and related problems. I. Optimal linear estimation

A. V. Borisov

Institute of Informatics Problems, Russian Academy of Sciences, Moscow, Russia

Abstract: The Martingale representation for a class of special Markov jump processes in reverse time is derived and applied to study optimal linear filtering and smoothing of states of nonlinear observation systems.

PACS: 05.40.-a

Presented by the member of Editorial Board: A. I. Kibzun

Received: 13.02.2006