Finite optimal filters for a class of nonlinear diffusions with jumping parameters

DOI10.1080/17442508208833198zbMath0478.93054OpenAlexW1974439680MaRDI QIDQ3936607

Thomas Björk

Publication date: 1982

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508208833198

zbMATH Keywords

filteringmartingale theoryfinite dimensional filtersMarkovian jump process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Martingales with continuous parameter (60G44)

Related Items (6)

Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process ⋮ In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ Optimal state filtering of controllable systems with random structure ⋮ The filtering problem for continuous-time linear systems with Markovian switching coefficients ⋮ Filtering of the Markov jump process given the observations of multivariate point process ⋮ The filtering problem for continuous-time linear systems with Markovian switching coefficients

Cites Work

• A survey of design methods for failure detection in dynamic systems
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• On lie algebras and finite dimensional filtering
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