Robust filtering algorithm for Markov jump processes with high-frequency counting observations

DOI10.1134/S0005117920040013zbMath1455.93194OpenAlexW3017718311MaRDI QIDQ827960

N. E. Zubov

Publication date: 14 January 2021

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

Full work available at URL: https://doi.org/10.1134/s0005117920040013

zbMATH Keywords

diffusion approximationMarkov jump processrobust filtering algorithmmultivariant point process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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