Finite state and discrete time approximation for filters

Nonlinear Analysis, Theory, Methods and Applications

Volumn 47, Issue 4, 2001, Pages 2485-2495

  Gerardi, Anna ^b   Tardelli, Paola ^b  

^a UNIVERSITY OF L'AQUILA   (Italy)

^b NONE

Author keywords

Approximation; Filtering; Markov jump processes; Martingale problems; Rate of convergence

Indexed keywords

APPROXIMATION THEORY; CONTROL SYSTEM ANALYSIS; CONVERGENCE OF NUMERICAL METHODS; MARKOV PROCESSES; STATE SPACE METHODS;

DISCRETE JUMP MARKOV PROCESSES;

DISCRETE TIME CONTROL SYSTEMS;

EID: 0035420954     PISSN: 0362546X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0362-546X(01)00371-6     Document Type: Article

References (12)

1. A filtering problem with counting observations: Approximations with error bounds
2. A filtering problem with counting observations: Error bounds due to uncertainty on the infinitesimal parameters
3. 1-bound
4. Filtering of a Markov jump process with counting observation
5. An estimate of the approximation error in the filtering of a discrete jump process
6. How to count and guess well: Discrete adaptative filters
7. Filtering of nonlinear systems driven by non-white noises: An approximation scheme
8. A robust computable approximation to the optimal nonlinear filter
9. A criterion of convergence of measure valued processes: Application to measure-branching processes