Nonlinear filtering equation of a jump process with counting observations

DOI10.1023/A:1010791014086zbMath0981.60081MaRDI QIDQ5946224

Anna Gerardi, Claudia Ceci

Publication date: 3 March 2002

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010791014086

zbMATH Keywords

filtering; Markov jump processes

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation, A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH, Heterogeneous population dynamical model: a filtering problem, Multitype branching processes observing particles of a given type, Filtering of the Markov jump process given the observations of multivariate point process, Nonlinear filtering of partially observed systems arising in singular stochastic optimal control, Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics, Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization, Unit-linked life insurance policies: optimal hedging in partially observable market models, Filtering on a partially observed ultra-high-frequency data model, Modelling a multitype branching Brownian motion: Filtering of a measure-valued process