Non-linear filtering of counting processes driven by Ornstein-Uhlenbeck processes

DOI10.1080/00207178608933660zbMath0601.93052OpenAlexW1964830026MaRDI QIDQ3737344

F. Jarachi, Joseph Aguilar-Martin

Publication date: 1986

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178608933660

zbMATH Keywords

extended Kalman filterOrnstein-Uhlenbeck processdoubly stochastic Poisson processtruncated momentsapproximate nonlinear filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (2)

Suboptimal nonlinear filtering of the rate of an observed point process ⋮ Recursive estimation of a discrete-time Markov chain

Cites Work

• Point processes and queues. Martingale dynamics
• Stochastic processes and filtering theory
• Filtering and detection for doubly stochastic Poisson processes

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