State estimation for partially observed jump processes

DOI10.1016/0022-247X(78)90175-0zbMath0403.60074MaRDI QIDQ1256265

Raymond W. Rishel

Publication date: 1978

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Martingale MethodsJump ProcessesOptimal Filtering EquationsPartially Observed Jump Markov Process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Representation results for jump processes with application to optimal stopping

Cites Work

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• State estimation for partially observed Markov chains
• Stochastic differential equations for the non linear filtering problem
• Nonlinear filtering with counting observations