Filtering with marked point process observations via Poisson chaos expansion

DOI10.1007/S00245-012-9189-6zbMATH Open1269.93124OpenAlexW1974790100MaRDI QIDQ360366FDOQ360366

Authors: Yong Zeng, Shu Zhang, Wei Sun 

Publication date: 26 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-012-9189-6

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zbMATH Keywords

filteringrandom measuresmarked point processesPoisson chaos expansionultra-high frequency data

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cites Work

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Cited In (6)

• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
• Filtering the histories of a partially observed marked point process
• Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque
• Filtering of derived point processes
• Filtering for stochastic volatility from point process observation

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