Estimating the state of a noisy continuous time Markov chain when dynamic sampling is feasible

DOI10.1214/aoap/1034801256zbMath0890.62072OpenAlexW2061097065MaRDI QIDQ1371009

David Assaf

Publication date: 28 October 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034801256

zbMATH Keywords

optimal controldiffusion processGaussian white noisefilteringaverage error ratedynamic sampling procedure

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Optimal stochastic control (93E20) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

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• A dynamic sampling approach for detecting a change in distribution
• On some filtration procedure for jump Markov process observed in white Gaussian noise
• Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
• Optimal search for a randomly moving object
• A Control Chart Model and a Generalised Stopping Problem for Brownian Motion
• Dynamic search for a moving target

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