Wonham Filtering by Observations with Multiplicative Noises

Abstract

We solve the optimal filtering problem for states of a homogeneous finite-state Markov jump process by indirect observations in the presence of Wiener noise. The key feature of this problem is that the noise intensities in observations depend on the unobserved state. The filtering estimate is represented as a solution to some stochastic system with continuous and purely discontinuous martingales in the right-hand side. We discuss the theoretical results and present a numerical example that illustrates the properties of the obtained estimates.