Abstract
The explicit solution of a partially observed LQ problem driven by a combination of a Wiener process and an unobserved finite-state jump Markov process is given. Applications of the model include guidance problems, where the jump Markov process models evasive maneuvers (acceleration values) of the target, or systems subject to a sequence of failures that can be modeled by a jump Markov process.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
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