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

DOI10.1080/17442508.2011.651214zbMath1296.60096arXiv1009.1039OpenAlexW1976184379MaRDI 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

zbMATH Keywords

nonlinear filteringoptimal stopping timepiecewise-deterministic Markov processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) 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)

Related Items

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ 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 ⋮ Long Run Control with Degenerate Observation

Cites Work

• Nonlinear filtering with signal dependent observation noise
• Least-squares state estimation of systems with state-dependent observation noise
• Optimality conditions for impulsive control of piecewise-deterministic processes
• Inference in hidden Markov models.
• Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme
• On value functions for impulsive control of piecewise-deterministic processes
• On Impulse Control with Partial Observation
• Martingales on Jump Processes. I: Representation Results
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Finite-dimensional models for hidden Markov chains
• The Theorems of Bony and Brezis on Flow-Invariant Sets
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Invariance for ordinary differential equations

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