State estimations for the Markov process driven by a point process (Q800030)
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scientific article; zbMATH DE number 3876310
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| English | State estimations for the Markov process driven by a point process |
scientific article; zbMATH DE number 3876310 |
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State estimations for the Markov process driven by a point process (English)
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1984
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The problem of nonlinear filtering of Markov processes with point process observations by the innovations method is considered. The author proves that a stochastic equation for the ''quasi-filtering'' estimation, in some sense, is equivalent to that of Kunita's type filtering equation with point process innovations. The existence and uniqueness problem for the quasi-filtering equation is investigated.
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point process observations
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innovations method
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existence and uniqueness problem
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quasi-filtering equation
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0.8827906250953674
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0.849481999874115
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0.8366166949272156
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0.8216557502746582
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