General smoothing formulas for Markov-modulated Poisson observations

DOI10.1109/TAC.2005.852565MaRDI QIDQ5274121zbMATH OpenFDO

Authors

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2005.852565

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24)

Cited in

(13)

• Asset pricing using trading volumes in a hidden regime-switching environment
• Filtering and smoothing formulas of AR(p)-modulated Poisson processes
• Markov modulated Poisson process associated with state-dependent marks and its applications to the deep earthquakes
• Automatic Smoothing for Poisson Regression
• Inventory management with partially observed nonstationary demand
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
• Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations
• Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• An HMM approach for optimal investment of an insurer
• Filtering with marked point process observations via Poisson chaos expansion
• Insurance claims modulated by a hidden Brownian marked point process
• Optimal hedging for fund and insurance managers with partially observable investment flows

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