Computable infinite-dimensional filters with applications to discretized diffusion processes

Stochastic Processes and their Applications

Volumn 116, Issue 10, 2006, Pages 1447-1467

  Chaleyat Maurel, Mireille ^a   Genon Catalot, Valentine ^a  

^a UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Diffusion processes; Discrete time observations; Hidden Markov models; Prior and posterior distributions; Stochastic filtering

Indexed keywords

COMPUTATION THEORY; DIFFUSION; MARKOV PROCESSES; PROBLEM SOLVING; SIGNAL FILTERING AND PREDICTION; VARIATIONAL TECHNIQUES;

DISCRETE TIME OBSERVATIONS; HIDDEN MARKOV MODELS; PRIOR AND POSTERIOR DISTRIBUTIONS; STOCHASTIC FILTERING;

DIGITAL FILTERS;

EID: 33747871988     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2006.03.004     Document Type: Article

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