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

DOI10.1017/S0269964800004228MaRDI QIDQ5485360zbMATHFDO

Authors Kaisheng Fan

Publication date 30 August 2006

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

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)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• On the unnormalized solution of the filtering problem with counting process observations
• Unique characterization of conditional distributions in nonlinear filtering

Cited in

(7)

• Nonlinear filtering for jump-diffusions
• Nonlinear filtering equations for stochastic processes with jumps
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
• Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
• Linear Filtering for a Class of Jump Processes Arising in Navigation Systems
• 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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