Fixed-interval optimal estimation for linear continuous-time Markovian jump systems

In this paper we study the optimal state estimation problems for a class of linear continuous-time Markovian jump systems. We adopt maximum likelihood (ML) approach and stochastic variational calculus method to derive estimates and forms of dynamic estimators on the fixed time interval. The necessary condition for the solvability of the optimal state estimation problems are given by the coupled Riccati differential equations with initial conditions.