On a new approach to the solution of the nonlinear filtering equation of jump processes

Probability in the Engineering and Informational Sciences

Volumn 10, Issue 1, 1996, Pages 153-163

  Fan, Kaisheng ^a  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGEBRA; LINEAR SYSTEMS; MARKOV PROCESSES; NONLINEAR FILTERING; ORDINARY DIFFERENTIAL EQUATIONS;

ALGEBRAIC EQUATIONS; JUMP PROCESS; NEW APPROACHES; OBSERVED SYSTEMS; SPECIAL STRUCTURE; SYSTEM OF ORDINARY DIFFERENTIAL EQUATIONS;

NONLINEAR EQUATIONS;

EID: 0030539563     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0269964800004228     Document Type: Article

References (7)

1. Brémaud, P. (1981). Point process and queues: Martingale dynamics, Berlin: Springer-Verlag.'
2. Elliott, R.J. (1982). Stochastic calculus and applications. Berlin: Springer-Verlag.
3. Ethier, S.N. & Kurtz, T.G. (1986). Markov processes: Characterization and convergence. New York: Wiley.
4. Gihman, I.I. & Skorohod, A.V. (1960). Stochastic differential equations. Berlin: Springer-Verlag.
5. Kliemann, W.H., Koch, G., & Marchetti, F. (1990). On the unnormalized solution of the filtering problem with counting process observations. IEEE Transactions on Information Theory 36: 1415-1425.
6. Kurtz, T.G. & Ocone, O. (1988). Unique characterization of conditional distribution in nonlinear filtering. The Annals of Probability 16: 80-107.
7. Yashin, A.I. (1970). Filtering of jump process. Automatikai Telemekhanika 5: 725-730.