Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque

DOI10.1080/17442509408833944MaRDI QIDQ4885237zbMATH OpenOpenAlexFDO

Authors Zusheng Rao

Publication date 4 November 1996

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833944

zbMATH Keywords

marked point processnonlinear filteringstochastic differential calculusapproximate filterreflected diffusion with jumps

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Filtering of the Markov jump process given the observations of multivariate point process
• Filtering of a Markov jump process with counting observations
• Filtering with marked point process observations via Poisson chaos expansion
• Reflected diffusion processes with jumps
• On some filtration procedure for jump Markov process observed in white Gaussian noise
• A point process approach to filtered processes
• Filtering the histories of a partially observed marked point process

Cites work

• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• Calcul stochastique d�pendant d'un param�tre
• Calcul stochastique et problèmes de martingales
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage
• Reflected diffusion processes with jumps
• Reflexion discontinue et systèmes stochastiques
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary conditions

Cited in

(6)

• scientific article; zbMATH DE number 4180430 (Why is no real title available?)
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• On partially observed jump diffusions. II: The filtering density
• Filtering the histories of a partially observed marked point process
• Filtering with marked point process observations via Poisson chaos expansion
• An averaging principle for filtering a jump process with point process observations

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