Filtering of the Markov jump process given the observations of multivariate point process

DOI10.1134/S0005117915020034zbMath1322.93100OpenAlexW2075162717MaRDI QIDQ747324

D. Kharzeev

Publication date: 23 October 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117915020034

zbMATH Keywords

Markov processdiscrete observationsoptimal filteringfinite number of statesfinite-dimensional differential-difference system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Observability (93B07)

Related Items (4)

Application of optimal filtering methods for on-line of queueing network states ⋮ Optimal channel choice for lossy data flow transmission ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ Controllable Markov jump processes. I: Optimum filtering based on complex observations

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
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• A diffusion model of roundtrip time
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Short rate analysis and marked point processes
• Flow control as a stochastic optimal control problem with incomplete information
• Analysis and filtration of special discrete-time Markov processes. II: Optimal filtration
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• Nonlinear filtering equation of a jump process with counting observations
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