FILTERING OF MARKOV JUMP PROCESSES GIVEN COMPOSITE OBSERVATIONS I: EXACT SOLUTIONстатья
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Дата последнего поиска статьи во внешних источниках: 4 марта 2022 г.
Аннотация:The first part of the series is devoted to the optimal filtering of the finite-state Markov jump processes(MJP) given the ensemble of the diffusion and counting observations. The noise intensity in the observablediffusion depends on the estimated MJP state. The special equivalent observation transformation converts theminto the collection of the diffusion process of unit intensity, counting processes, and indirect measurementsperformed at some nonrandom discrete instants. The considered filtering estimate is expressed as a solution to thediscrete-continuous stochastic differential system with the transformed observations on the right-hand side. Theidentifiability condition, under which MJP state can be reconstructed from indirect noisy observations precisely, ispresented.