AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS
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Publication:4798860
DOI10.1142/S0218202501000830zbMath1009.60030MaRDI QIDQ4798860
Anna Gerardi, Claudia Ceci, Paola Tardelli
Publication date: 16 March 2003
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (2)
JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION ⋮ Controlled Heterogeneous Collection: The Role of Occupation Numbers
Cites Work
- Unique characterization of conditional distributions in nonlinear filtering
- Filtering the histories of a partially observed marked point process
- Martingale problems for conditional distributions of Markov processes
- Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
- Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme
- A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
- A filtering problem with counting observations:error bounds due to the uncertainty on the infinitesimal parameters
- A filtering problem with counting observations: approximation with error bounds
- Filtering of a branching process given its split times
- On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes
- Quelques applications de la formule de changement de variables pour les semimartingales
- On the unnormalized solution of the filtering problem with counting process observations
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