On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes

DOI10.1017/S0269964800004228zbMATH Open1093.93547MaRDI QIDQ5485360FDOQ5485360

Authors: Kaisheng Fan 

Publication date: 30 August 2006

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

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Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Title not available (Why is that?)
• Unique characterization of conditional distributions in nonlinear filtering
• On the unnormalized solution of the filtering problem with counting process observations

Cited In (7)

• Nonlinear filtering for jump-diffusions
• Linear Filtering for a Class of Jump Processes Arising in Navigation Systems
• Nonlinear filtering equations for stochastic processes with jumps
• Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
• On the unnormalized solution of the filtering problem with counting process observations
• AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS

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