Filtering of a Markov jump process with counting observations

DOI10.1007/s002450010005zbMath0963.60080OpenAlexW1583054874MaRDI QIDQ1573568

Claudia Ceci, Anna Gerardi

Publication date: 13 June 2001

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002450010005

zbMATH Keywords

filteringMarkov jump processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (12)

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ Nonlinear Filtering for Jump Diffusion Observations ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ Backward representation of Markov jump processes and related problems. I. Optimal linear estimation ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Nonlinear filtering for jump-diffusions ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Filtering on a partially observed ultra-high-frequency data model ⋮ Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems

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