This paper discusses the nonlinear filter design for state estimation of Markovian jump nonlinear stochastic systems. Our results extend the filter theory for Markovian jump linear systems to the nonlinear stochastic systems with Markovian jumping parameters. By using the Lyapunov approach to design the nonlinear filter for Markovian jump nonlinear stochastic systems, the state estimation error for the proposed filter can approach to zero asymptotically in probability. Finally, a simulated example is given to justify the performance of the proposed nonlinear filter.
