Abstract
The problem of optimal filtering of the Markov process with finite number of states through the discrete observations arriving at random time instants was formulated and resolved. It was established that the desired estimate obeys a finite-dimensional differential-difference system which admits an explicit solution. The theoretical results obtained are applicable to the problem of monitoring the telecommunication link.
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Original Russian Text © A.V. Borisov, B.M. Miller, K.V. Semenikhin, 2015, published in Avtomatika i Telemekhanika, 2015, No. 2, pp. 34–60.
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Borisov, A.V., Miller, B.M. & Semenikhin, K.V. Filtering of the Markov jump process given the observations of multivariate point process. Autom Remote Control 76, 219–240 (2015). https://doi.org/10.1134/S0005117915020034
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DOI: https://doi.org/10.1134/S0005117915020034