Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise
- 1 September 1998
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 36 (5) , 1638-1668
- https://doi.org/10.1137/s0363012997315440
Abstract
This paper is concerned with nonlinear filtering and control of a switching diffusion coupled by an unknown Markov chain. Two statistical estimation methods are used to track the unknown Markov chain. Computable approximate filters are obtained based on these methods. The filters are then used to construct controls for the partially observed system. These controls are shown to be asymptotically optimal as the observation noise tends to zero. Finally an example is considered and numerical experiments are reported.Keywords
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