메뉴 건너뛰기




Volumn 11, Issue 2, 2001, Pages 181-198

An estimate of the approximation error in the filtering of a discrete jump process

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035589564     PISSN: 02182025     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0218202501000830     Document Type: Article
Times cited : (6)

References (18)
  • 1
    • 38249014923 scopus 로고
    • Filtering the histories of partially observed marked point processes
    • E. Arjas, P. Haara and I. Norros, Filtering the histories of partially observed marked point processes, Stochastic Process. Appl. 40 (1992) 225-250.
    • (1992) Stochastic Process. Appl. , vol.40 , pp. 225-250
    • Arjas, E.1    Haara, P.2    Norros, I.3
  • 2
    • 21344437201 scopus 로고
    • Uniqueness and robustness of solution of a measure-valued equations of nonlinear filtering
    • A. G. Bhatt, G. Kallianpur and R. L. Karandikar, Uniqueness and robustness of solution of a measure-valued equations of nonlinear filtering, Ann. Probab. 23 (1995) 1895-1938.
    • (1995) Ann. Probab. , vol.23 , pp. 1895-1938
    • Bhatt, A.G.1    Kallianpur, G.2    Karandikar, R.L.3
  • 4
    • 0004173480 scopus 로고    scopus 로고
    • A filtering problem with counting observations: Approximation with error bounds
    • A. Calzolari and G. Nappo, A filtering problem with counting observations: approximation with error bounds, Stochastics and Stochastics Rep. 57 (1996) 71-87.
    • (1996) Stochastics and Stochastics Rep. , vol.57 , pp. 71-87
    • Calzolari, A.1    Nappo, G.2
  • 5
    • 0002561973 scopus 로고    scopus 로고
    • A filtering problem with counting observations: Error bounds due to the uncertainty on the infinitesimal parameters
    • A. Calzolari and G. Nappo, A filtering problem with counting observations: error bounds due to the uncertainty on the infinitesimal parameters, Stochastics Stochastics Rep. 61 (1997) 1-19.
    • (1997) Stochastics Stochastics Rep. , vol.61 , pp. 1-19
    • Calzolari, A.1    Nappo, G.2
  • 7
    • 0031222402 scopus 로고    scopus 로고
    • The filtering problem of a branching process given its split times
    • C. Ceci and A. Gerardi, The filtering problem of a branching process given its split times, J. Appl. Probab. 34 (1997) 565-574.
    • (1997) J. Appl. Probab. , vol.34 , pp. 565-574
    • Ceci, C.1    Gerardi, A.2
  • 8
    • 0033698853 scopus 로고    scopus 로고
    • Filtering of a Markov jump process with counting observations
    • C. Ceci and A. Gerardi, Filtering of a Markov jump process with counting observations, Appl. Math. Optim. 42 (2000) 1-18.
    • (2000) Appl. Math. Optim. , vol.42 , pp. 1-18
    • Ceci, C.1    Gerardi, A.2
  • 9
    • 0001125808 scopus 로고
    • Quelques applications de la formule de changement de variables pour les semimartingales
    • C. Doleans-Dade, Quelques applications de la formule de changement de variables pour les semimartingales, Z. Wahrsch. Verw. Gebiete 16 (1970) 181-194.
    • (1970) Z. Wahrsch. Verw. Gebiete , vol.16 , pp. 181-194
    • Doleans-Dade, C.1
  • 12
    • 0030539563 scopus 로고    scopus 로고
    • On a new approach to the solution of the nonlinear filtering equation of jump processes
    • K. Fan, On a new approach to the solution of the nonlinear filtering equation of jump processes, Probab. Engrg. Inform. Sci. 10 (1996) 153-163.
    • (1996) Probab. Engrg. Inform. Sci. , vol.10 , pp. 153-163
    • Fan, K.1
  • 14
    • 0025519625 scopus 로고
    • On the unnormalized solution of the filtering problem with counting processes observations
    • W. Kliemann, G. Koch and F. Marchetti, On the unnormalized solution of the filtering problem with counting processes observations, IEEE Trans. Inform. Theory 36 (1990) 1415-1425.
    • (1990) IEEE Trans. Inform. Theory , vol.36 , pp. 1415-1425
    • Kliemann, W.1    Koch, G.2    Marchetti, F.3
  • 15
    • 0001923498 scopus 로고
    • Filtering of nonlinear systems driven by non-white noises: An approximation scheme
    • H. Korezioglu and W. J. Runggaldier, Filtering of nonlinear systems driven by non-white noises: an approximation scheme, Stochastics 44 (1993) 65-102.
    • (1993) Stochastics , vol.44 , pp. 65-102
    • Korezioglu, H.1    Runggaldier, W.J.2
  • 16
    • 0002888662 scopus 로고    scopus 로고
    • Martingale problems for conditional distribution of Markov processes
    • T. G. Kurtz, Martingale problems for conditional distribution of Markov processes, Electronic J. Probab. 3, 9 (1998) 29 pp.
    • (1998) Electronic J. Probab. , vol.3 , Issue.9
    • Kurtz, T.G.1
  • 17
    • 0001868645 scopus 로고
    • Unique characterization of conditional distributions in nonlinear filtering
    • T. G. Kurtz and D. Ocone, Unique characterization of conditional distributions in nonlinear filtering, Ann. Probab. 16 (1988) 80-107.
    • (1988) Ann. Probab. , vol.16 , pp. 80-107
    • Kurtz, T.G.1    Ocone, D.2
  • 18
    • 0018737898 scopus 로고
    • A robust computable approximation to the optimal nonlinear filter
    • H. J. Kushner, A robust computable approximation to the optimal nonlinear filter, Stochastics 3 (1979) 75-83.
    • (1979) Stochastics , vol.3 , pp. 75-83
    • Kushner, H.J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.