Estimating the state of a noisy continuous time Markov chain when dynamic sampling is feasible

DOI10.1214/AOAP/1034801256MaRDI QIDQ1371009zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

diffusion processfilteringoptimal controlGaussian white noiseaverage error ratedynamic sampling procedure

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3885030 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• A Control Chart Model and a Generalised Stopping Problem for Brownian Motion
• A dynamic sampling approach for detecting a change in distribution
• Dynamic search for a moving target
• Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
• On some filtration procedure for jump Markov process observed in white Gaussian noise
• Optimal search for a randomly moving object

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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