Filtering of continuous-time Markov chains with noise-free observation and applications
From MaRDI portal
Publication:5411902
DOI10.1080/17442508.2011.651214zbMath1296.60096arXiv1009.1039MaRDI QIDQ5411902
Marco Fuhrman, Fulvia Confortola
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.1039
62M20: Inference from stochastic processes and prediction
93E11: Filtering in stochastic control theory
93E10: Estimation and detection in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
60G40: Stopping times; optimal stopping problems; gambling theory
60H99: Stochastic analysis
60J28: Applications of continuous-time Markov processes on discrete state spaces
Related Items
Optimal Control of Continuous-Time Markov Chains with Noise-Free Observation, Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation, Nonlinear filtering of partially observed systems arising in singular stochastic optimal control, Long Run Control with Degenerate Observation
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