Low dimensional filters for a class of finite state estimation problems with Poisson observations

DOI10.1016/S0167-6911(82)80004-2zbMath0473.93069MaRDI QIDQ1159177

Steven I. Marcus

Publication date: 1982

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

semimartingalesstochastic differential equationsnonlinear filteringLie algebrasdoubly stochastic Poisson processesfinite state Markov processesfinite state estimationlow dimensional filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Estimation and detection in stochastic control theory (93E10) Structure theory for Lie algebras and superalgebras (17B05) Stochastic systems in control theory (general) (93E03)

Cites Work

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• An alternative approach to nonlinear filtering
• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
• Modeling and approximation of stochastic differential equations driven by semimartingales^†
• Modeling and analysis of stochastic differential equations driven by point processes
• Smooth representation of systems with differentiated inputs

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