Filtering of continuous-time Markov chains with noise-free observation and applications
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Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic analysis (60H99) Applications of continuous-time Markov processes on discrete state spaces (60J28) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)
Abstract: Let X be a continuous-time Markov chain in a finite set I, let h be a mapping of I onto another set, and let Y be defined by Y_t=h(X_t), (for t nonnegative). We address the filtering problem for X in terms of the observation Y, which is not directly affected by noise. We write down explicit equations for the filtering process and show that this is a Markov process with the Feller property. We also prove that it is a piecewise-deterministic Markov process in the sense of Davis, and we identify its characteristics explicitly. We finally solve an optimal stopping problem for X with partial observation, i.e. where the moment of stopping is required to be a stopping time with respect to the natural filtration of Y.
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(17)- Martingale problems for conditional distributions of Markov processes
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