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Filtration and prediction of random solutions of a system of linear differential equations with coefficients depending on a finite-valued Markov process

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Abstract

We obtain an equation of optimal filtration for processes of Markov random evolution, which is a solution of systems of linear differential equations with Markov switchings.

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References

  1. V. I. Tikhonov and M. A. Mironov, Markov Processes (in Russian), Sovetskoe Radio, Moscow (1977).

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  2. K. G. Valeev, O. L. Karelova, and V. I. Gorelov, Optimization of Linear Systems with Random Coefficients [in Russian], Russian University of Friendship of Peoples, Moscow (1996).

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Authors and Affiliations

  1. Kiev National Economical University, Kiev

    A. L. Lapshin

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  1. A. L. Lapshin
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Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 7, pp. 997–1000, July, 1998.

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Lapshin, A.L. Filtration and prediction of random solutions of a system of linear differential equations with coefficients depending on a finite-valued Markov process. Ukr Math J 50, 1135–1140 (1998). https://doi.org/10.1007/BF02528825

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  • DOI: https://doi.org/10.1007/BF02528825

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