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