Applied Mathematics and Optimization, Vol.32, No.2, 163-194, 1995
Piecewise-Linear Filtering with Small Observation Noise
We consider a piecewise linear filtering problem with small observation noise. In two different situations;we construct an approximate finite-dimensional filter based on several Kalman-Bucy filters running in parallel and a procedure of tests. In the first case our work generalizes some results of Fleming et al. to more general piecewise linear dynamics.