Filtering with marked point process observations via Poisson chaos expansion

DOI10.1007/s00245-012-9189-6zbMath1269.93124MaRDI QIDQ360366

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

zbMATH Keywords

filtering; marked point processes; random measures; Poisson chaos expansion; ultra-high frequency data

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

Related Items

Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation

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