Filtering with marked point process observations via Poisson chaos expansion

DOI10.1007/s00245-012-9189-6zbMath1269.93124OpenAlexW1974790100MaRDI QIDQ360366

Yong Zeng, Shu Zhang, Wei Sun

Publication date: 26 August 2013

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

Full work available at URL: https://doi.org/10.1007/s00245-012-9189-6

zbMATH Keywords

filteringmarked point processesrandom measuresPoisson chaos expansionultra-high frequency data

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items (1)

Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation

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