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Filtration of random solutions of a system of linear difference equations with coefficients depending on a Markov chain

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Abstract

We solve the problem of the estimation of a random state for a system with discrete time that is described by a system of linear difference equations with coefficients depending on a finite-valued Markov chain.

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References

  1. K. J. Åström, Introduction to Stochastic Control Theory, Academic Press, New York (1970)

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  2. A. N. Kolmogorov, “Interpolation and extrapolation of stationary random sequences,” Izv. Akad. Nauk SSSR, Ser. Mat., 5, No. 1 3–14 (1941).

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Authors and Affiliations

  1. Kiev Economical University, Kiev

    A. L. Lapshin

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  1. A. L. Lapshin
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Additional information

Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 4, pp. 590–592, April, 1998.

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Lapshin, A.L. Filtration of random solutions of a system of linear difference equations with coefficients depending on a Markov chain. Ukr Math J 50, 669–672 (1998). https://doi.org/10.1007/BF02487398

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  • DOI: https://doi.org/10.1007/BF02487398

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