H∞ State Estimation for Linear Continuous-Time Systems Driven by Wiener and Poisson Processes
While H∞ filtering theory for stochastic continuous-time systems driven by Poisson processes has been presented by B. Song et al.(2015), H∞ smoothing theory for the systems and the relationship between H∞ filtering and smoothing have not been yet fully investigated. In this paper, we study the H∞ state estimation (filtering and smoothing) problems for a class of linear continuous-time systems driven by Wiener and Poisson processes on the finite time interval. In order to derive H∞ state estimators, we adopt unified stochastic variational approach which has not been found in previous work by any other researchers.