On the unnormalized solution of the filtering problem with counting process observations
From MaRDI portal
Publication:5753857
DOI10.1109/18.59936zbMath0721.93072OpenAlexW2122132597MaRDI QIDQ5753857
Wolfgang Kliemann, Federico Marchetti, Giorgio Koch
Publication date: 1990
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.59936
Related Items (30)
A Newton multigrid method for steady-state shallow water equations with topography and dry areas ⋮ Nonlinear Filtering for Jump Diffusion Observations ⋮ AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS ⋮ Constructing quantum measurement processes via classical stochastic calculus ⋮ RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ Nonlinear filtering with correlated Lévy noise characterized by copulas ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ A filtering model for Bayesian analysis of failure data contaminated by maintenance ⋮ Nonlinear filtering with a symmetric space valued discontinuous observation ⋮ Dynamic credit investment in partially observed markets ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ Heterogeneous population dynamical model: a filtering problem ⋮ Multitype branching processes observing particles of a given type ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection ⋮ A partially observed ultra-high-frequency data model: risk-minimizing hedging ⋮ Filtering the histories of a partially observed marked point process ⋮ Filtered likelihood for point processes ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Filtering on a partially observed ultra-high-frequency data model ⋮ Modelling a multitype branching Brownian motion: Filtering of a measure-valued process ⋮ Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems ⋮ Nonlinear Filtering for Markov Systems with Delayed Observations ⋮ A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH ⋮ On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes ⋮ A Monte Carlo method for filtering a marked doubly stochastic Poisson process ⋮ Genealogical constructions of population models
This page was built for publication: On the unnormalized solution of the filtering problem with counting process observations
