State estimations for the Markov process driven by a point process

MaRDI QIDQ800030zbMATH OpenFDO

Authors Tran Hung Thao

Publication date 1984

Published in Acta Mathematica Vietnamica (Search for Journal in Brave)

zbMATH Keywords

existence and uniqueness probleminnovations methodpoint process observationsquasi-filtering equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

Review text

The problem of nonlinear filtering of Markov processes with point process observations by the innovations method is considered. The author proves that a stochastic equation for the quasi-filtering estimation, in some sense, is equivalent to that of Kunita's type filtering equation with point process innovations. The existence and uniqueness problem for the quasi-filtering equation is investigated.

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