Filtering the histories of a partially observed marked point process

DOI10.1016/0304-4149(92)90013-GzbMath0747.60045MaRDI QIDQ1190169

Pentti Haara, Elja Arjas, Ilkka Norros

Publication date: 27 September 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

marked point processcompensatoralternating renewal processdisruption problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (16)

AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS ⋮ Random record processes and state dependent thinning ⋮ Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ Optimal stopping for partially observed piecewise-deterministic Markov processes ⋮ Heterogeneous population dynamical model: a filtering problem ⋮ Change-point models and conditionally pure birth processes: an inequality on the stochastic intensity ⋮ Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes ⋮ Filtering on a partially observed ultra-high-frequency data model ⋮ Inventory management with partially observed nonstationary demand ⋮ How about wearing two hats, first Popper's and then de Finetti's? ⋮ Occupancy numbers for dynamic heterogeneous populations: Estimate of particles lifetimes ⋮ Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems ⋮ Graphical Models for Marked Point Processes Based on Local Independence ⋮ Sequential tracking of a hidden Markov chain using point process observations ⋮ Filtering of derived point processes

Cites Work

• Point processes and queues. Martingale dynamics
• On the Filtering of Semimartingales in Case of Observations of Point Processes
• Nonlinear filtering with counting observations
• Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage
• On the unnormalized solution of the filtering problem with counting process observations
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