Estimating the state of a noisy continuous time Markov chain when dynamic sampling is feasible
DOI10.1214/AOAP/1034801256zbMATH Open0890.62072OpenAlexW2061097065MaRDI QIDQ1371009FDOQ1371009
Authors: David Assaf 
Publication date: 28 October 1997
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034801256
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diffusion processfilteringoptimal controlGaussian white noiseaverage error ratedynamic sampling procedure
Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Optimal stochastic control (93E20)
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- Dynamic search for a moving target
- Optimal search for a randomly moving object
- A dynamic sampling approach for detecting a change in distribution
- A Control Chart Model and a Generalised Stopping Problem for Brownian Motion
- On some filtration procedure for jump Markov process observed in white Gaussian noise
Cited In (4)
- Inferring the parameters of a Markov process from snapshots of the steady state
- Optimal adaptive sampling for a symmetric two-state continuous time Markov chain
- Sampling Low-Dimensional Markovian Dynamics for Preasymptotically Recovering Reduced Models from Data with Operator Inference
- Maximally Reliable Markov Chains Under Energy Constraints
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