As more applications are found, interest in Hidden Markov Models continues to grow.
Following comments and feedback from colleagues, students and other working with Hidden …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We consider the problem of risk-sensitive stochastic control under a Markov modulated
denial-of-service (DoS) attack strategy in which the attacker, using a hidden Markov model …

The objective of this paper is to develop an approach to nonlinear filtering based on the
Cameron--Martin version of Wiener chaos expansion. This approach gives rise to a new …

In this paper, we consider an event-triggered minimax state estimation problem for uncertain
systems subject to a relative entropy constraint. This minimax estimation problem is …

In this paper, we consider the problem of risk-sensitive control under a class of Denial-of-
Service (DoS) attack strategies and derive a solution for the optimal control policy when the …

In this paper we discuss the well-posedness and approximation of solutions to the Kushner
equation in nonlinear filtering problems. We develop and analyze a time integration method …

For the standard continuous-time nonlinear filtering problem an approximation approach is
derived. The approximate filter is given by the solution to an appropriate discrete-time …

The reversion in time of a stochastic difference equation in a hybrid space with a Markovian
solution is presented. The reversion is obtained by a martingale approach, which previously …

A new nonlinear filtering algorithm is proposed for the model where the state is a randomly
perturbed nonlinear dynamical system and the measurements are made at discrete-time …