Équations du filtrage pour un processus de poisson mélangé á deux indices

DOI10.1080/17442508008833157zbMath0449.60026OpenAlexW2071604645MaRDI QIDQ3896303

J. Szpirglas, Gerald Mazziotto

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833157

zbMATH Keywords

stochastic calculusIto formulaGirsanov theoremnon-linear filteringtwo-parameter doubly stochastic Poisson measure

Mathematics Subject Classification ID

Random fields (60G60) 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 (7)

Different kinds of two-parameter martingales ⋮ On the existence and uniqueness of solutions to stochastic differential equations of mixed Brownian and Poissonian sheet type. ⋮ Stochastic integral representations for multiparameter random fields with stationary independent increments ⋮ The transformation theorem for two-parameter pure jump martingales ⋮ Intensity-based inference for planar point processes ⋮ Ito's formula for two-parameter stochastic integrals with respect to martingale measures ⋮ Nonlinear filtering equations for two-parameter semimartingales

Cites Work

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• Stochastic integrals in the plane
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• An extension of stochastic integrals in the plane
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• Changes of filtrations and of probability measures
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• [https://portal.mardi4nfdi.de/wiki/Publication:3852895 Sur la r�gularit� des trajectoires des Martingales � deux indices]
• [https://portal.mardi4nfdi.de/wiki/Publication:4076586 Repr�sentation des martingales de carr� integrable relative aux processus de Wiener et de Poisson � n param�tres]
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4148564 R�gions d'arr�t, localisations et prolongements de martingales]
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• On the optimal filtering of diffusion processes

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