Analysis and Filtration of Special Discrete-Time Markov Processes. II. Optimal Filtration

Mean-square optimal filtration of the states of a special Markov process, which is the generalization of Markov chains with a finite or denumerable number of states, is studied. By way of example, tracking of the state of a network connection under TCP is given.__________Translated from Avtomatika i Telemekhanika, No. 7, 2005, pp. 112–125.Original Russian Text Copyright © 2005 by Borisov, Miller.This work was supported by INTAS, project no. YSF 04-83-3623.