On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes

DOI10.1017/S0269964800004228zbMath1093.93547MaRDI QIDQ5485360

Kaisheng Fan

Publication date: 30 August 2006

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items (2)

AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS ⋮ A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH

Cites Work

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• Unique characterization of conditional distributions in nonlinear filtering
• On the unnormalized solution of the filtering problem with counting process observations

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