scientific article; zbMATH DE number 431865

MaRDI QIDQ3138644zbMATH OpenFDO

Authors Eckhard Platen, Henri Schurz, Peter E. Kloeden

Publication date 14 March 1994

zbMATH Keywords

Wiener processapproximate discrete time filters for continuous time finite-state Markov chains

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Filtering of continuous-time Markov chains
• Discrete-time approximation of Wonham filters
• On Filtering of Markov Chains in Strong Noise
• Exact adaptive filters for Markov chains observed in Gaussian noise
• Asymptotic filtering for finite state Markov chains

Cited in

(6)

• Stability of weak numerical schemes for stochastic differential equations
• Filtering of continuous-time Markov chains
• Exact and approximate hidden Markov chain filters based on discrete observations
• Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
• Discrete-time approximation of Wonham filters
• Stability of weak numerical schemes for stochastic differential equations

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