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

continuous-time Markov processnonlinear filteringpredictionsmoothing

Mathematics Subject Classification ID

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

Review text

Equations for nonlinear filtering, smoothing and prediction are given in this work; the stochastic system which is studied consists of observable and unobservable components which are jointly a continuous-time Markov process with values in a countable set. This process is not assumed to be conservative, however this aspect is not emphasized enough in the proofs. Some particular cases are developed. The literature which is cited is rather old.

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Cited in

(4)

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

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