Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach

DOI10.1137/0132045MaRDI QIDQ4158246zbMATH OpenOpenAlexFDO

Authors Jan H. van Schuppen

Publication date 1977

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0132045

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cited in

(17)

• Suboptimal nonlinear filtering of the rate of an observed point process
• Recursive estimation of a discrete-time Markov chain
• Monotone stopping rules forstochastic processes in a semimartingale representation with applications
• EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
• Modelling and estimation of traffic flow—a martingale approach
• An alternative approach to non-linear filtering†
• Filtering formulas and the ./M/1 queue in a quasireversible network
• Diffusion approximation and filtering for a queueing system with repeats
• Nonlinear filtering with a symmetric space valued discontinuous observation
• Control: a perspective
• Explicit computations for some Markov modulated counting processes
• The stochastic filtering problem: a brief historical account
• The filtering equations revisited
• Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations
• A general replacement model
• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• A hybrid higher-order interpolation/finite element technique for evolutionary groundwater-surface water problem

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