A filtering problem with counting observations: approximation with error bounds

DOI10.1080/17442509608834052zbMath0897.60046OpenAlexW2095255740MaRDI QIDQ4363322

Antonella Calzolari, Giovanna Nappo

Publication date: 7 January 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509608834052

zbMATH Keywords

approximationfilteringcouplingcounting processjump Markov process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS ⋮ A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA ⋮ Controlled Heterogeneous Collection: The Role of Occupation Numbers ⋮ Heterogeneous population dynamical model: a filtering problem

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