Filtering, interpolation, and extrapolation of Markov chains with a continuous parameter

MaRDI QIDQ1090657zbMATH OpenFDO

Authors V. M. Khametov

Publication date 1986

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

zbMATH Keywords

predictionsmoothingnonlinear filteringcontinuous-time Markov process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Continuous-time Markov processes on discrete state spaces (60J27) Nonlinear systems in control theory (93C10) Data smoothing in stochastic control theory (93E14)

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Cited in

(4)

• Estimating and interpolating a Markov chain from aggregate data
• On the quality of certain interpolation procedures of a partially observable Markov process
• A filtering technique for Markov chains with applications to spectral embedding
• Equations of optimal nonlinear filtration and interpolation for partially observed Markov processes

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