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Optimum estimation of discretely continuous Markov processes

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Abstract

An a posteriori probability-density equation is derived for a discretely continuous Markov process by an approach that avoids use of the stochastic estimation differential and allows a general observer with non-Gaussian noise to be examined.

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Literature Cited

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  2. V. I. Tikhonov and M. A. Mironov, Markov Processes [in Russian], Sovet-skoe Radio, Moscow (1977).

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  3. I. E. Kazakov and V. M. Artem'ev, Optimization of Dynamic Systems of Random Structure [in Russian], Nauka, Moscow (1980).

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Authors
  1. S. V. Sokolov
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Additional information

Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 34, No. 7, pp. 768–773, July, 1991.

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Sokolov, S.V. Optimum estimation of discretely continuous Markov processes. Radiophys Quantum Electron 34, 634–638 (1991). https://doi.org/10.1007/BF01039595

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  • DOI: https://doi.org/10.1007/BF01039595

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