Filtering of the Markov jump process given the observations of multivariate point process

DOI10.1134/S0005117915020034MaRDI QIDQ747324zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov processoptimal filteringdiscrete observationsfinite number of statesfinite-dimensional differential-difference system

Mathematics Subject Classification ID

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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• A diffusion model of roundtrip time
• A filtering approach to tracking volatility from prices observed at random times
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• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• Flow control as a stochastic optimal control problem with incomplete information
• Nonlinear filtering equation of a jump process with counting observations
• Probability methods for approximations in stochastic control and for elliptic equations
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Cited in

(19)

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• Controllable Markov jump processes. II: Monitoring and optimization of TCP connections
• Filtering the histories of a partially observed marked point process
• Analysis and filtration of special discrete-time Markov processes. II: Optimal filtration
• State estimations for the Markov process driven by a point process
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• Optimum nonlinear filtering of a doubly stochastic Poisson stream controlled by a purely discontinuous Markov process
• Application of optimal filtering methods for on-line of queueing network states
• Controllable Markov jump processes. I: Optimum filtering based on complex observations
• An averaging principle for filtering a jump process with point process observations
• Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering
• Specific optimal estimation of special Markov jump processes
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Optional decomposition of optional supermartingales and applications to filtering and finance

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