Asymptotic filtering for finite state Markov chains

Stochastic Processes and their Applications

Volumn 63, Issue 1, 1996, Pages 1-10

  Khasminskii, Rafail ^a   Zeitouni, Ofer ^b  

^a WAYNE STATE UNIVERSITY   (United States)

^b TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

Hypothesis testing; Markov chains; Nonlinear filtering

Indexed keywords

EID: 0030268261     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4149(96)00060-9     Document Type: Article

References (5)

1. A. Dembo and O. Zeitouni, Large Deviations Techniques and Applications (Jones and Bartlett, Boston, 1993).
2. R.Z. Khasminskii and B.V. Lazareva, On some filtration procedure for jump Markov process observed in white Gaussian noise, Ann. Statist. 20 (1992) 2153-2160.
3. E.L. Lehmann, Testing Statistical Hypotheses (Wiley, New York, 1986).
4. A.N. Shiryayev, Probability (Springer, New York, 1984).
5. W.M. Wonham, Some applications of stochastic differential equations to optimal nonlinear filtering, SIAM J. Control 2 (1965) 347-368.