Filtering with marked point process observations via Poisson chaos expansion

DOI10.1007/S00245-012-9189-6MaRDI QIDQ360366zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

filteringrandom measuresmarked point processesPoisson chaos expansionultra-high frequency data

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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• Filtering and detection for doubly stochastic Poisson processes
• Filtering of a Markov jump process with counting observations
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• Multiple Integral Expansions for Nonlinear Filtering
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• Risk Minimization for a Filtering Micromovement Model of Asset Price
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• Spatial point processes and the projection method
• The Econometrics of Ultra-high-frequency Data
• The Feynman-Stratonovich semigroup and Stratonovich integral expansions in nonlinear filtering
• The generalized Hu-Meyer formula for random kernels
• Unique characterization of conditional distributions in nonlinear filtering
• White noise calculus and nonlinear filtering theory

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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