Optimal filtering for linear continuous-time Markovian jump systems with non-Gaussian noises by MPT approach

In this paper we study the optimal filtering problems for a class of linear continuous-time Markovian jump systems with non-Gaussian noises by MPT (most probable trajectory) approach. The systems are described by the switching systems with Markovian mode transitions. In this paper we consider both cases (A) the modes are accessible and (B) the modes are inaccessible. The necessary and sufficient conditions for the solvability of the optimal filtering problems are given by coupled Riccati differential equations with initial conditions. Finally we give numerical examples.