JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION

DOI10.1142/S0218202502001659zbMath1023.62095MaRDI QIDQ4798964

Anna Gerardi, Paola Tardelli

Publication date: 16 March 2003

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

rate of convergencefilteringnumerical approximationMarkov jump processesmartingale problemspartial observations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Optimal control and filtering of the reproduction law of a branching process
• Exchangeable mixture models for lifetimes: the role of ``occupation numbers.
• partially observed control of markov processes, I
• A filtering problem with counting observations:error bounds due to the uncertainty on the infinitesimal parameters
• Filtering of a branching process given its split times
• Filtering equations for the conditional law of residual lifetimes from a heterogeneous population
• AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS
• Quelques applications de la formule de changement de variables pour les semimartingales

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