Filtering of the Markov jump process given the observations of multivariate point process
DOI10.1134/S0005117915020034zbMATH Open1322.93100OpenAlexW2075162717MaRDI QIDQ747324FDOQ747324
Authors: D. Kharzeev 
Publication date: 23 October 2015
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117915020034
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Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Observability (93B07) Estimation and detection in stochastic control theory (93E10)
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Cited In (19)
- Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering
- Robust filtering algorithm for Markov jump processes with high-frequency counting observations
- A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
- Optimal channel choice for lossy data flow transmission
- Controllable Markov jump processes. II: Monitoring and optimization of TCP connections
- Filtering the histories of a partially observed marked point process
- Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque
- Controllable Markov jump processes. I: Optimum filtering based on complex observations
- Title not available (Why is that?)
- Application of optimal filtering methods for on-line of queueing network states
- State estimations for the Markov process driven by a point process
- Filtering a Markovian process which is observed jointly with a step-wise perturbation
- Specific optimal estimation of special Markov jump processes
- Filtering of derived point processes
- On reliability of repairable hot double redundant system with arbitrarily distributed life and repair times of its elements
- Optimum nonlinear filtering of a doubly stochastic Poisson stream controlled by a purely discontinuous Markov process
- Optional decomposition of optional supermartingales and applications to filtering and finance
- Analysis and filtration of special discrete-time Markov processes. II: Optimal filtration
- An averaging principle for filtering a jump process with point process observations
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