Filtering of continuous-time Markov chains with noise-free observation and applications

DOI10.1080/17442508.2011.651214MaRDI QIDQ5411902zbMATH OpenOpenAlexFDO

Authors F. Confortola, Marco Fuhrman

Publication date 25 April 2014

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.1039

zbMATH Keywords

optimal stopping timenonlinear filteringpiecewise-deterministic Markov processes

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Estimation and detection in stochastic control theory (93E10) Stochastic analysis (60H99)

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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Cites work

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Cited in

(11)

• A filtering technique for Markov chains with applications to spectral embedding
• Long run control with degenerate observation
• Filtering of continuous-time Markov chains
• Optimal control of continuous-time Markov chains with noise-free observation
• Filtering of finite-state time-nonhomogeneous Markov processes, a direct approach
• scientific article; zbMATH DE number 3967577 (Why is no real title available?)
• Tutorial on structured continuous-time Markov processes
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• Analysis and filtration of special discrete-time Markov processes. I: Martingale representation
• Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
• New finite-dimensional filters and smoothers for noisily observed Markov chains

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