Sequential tracking of a hidden Markov chain using point process observations

Stochastic Processes and their Applications

Volumn 119, Issue 6, 2009, Pages 1792-1822

  Bayraktar, Erhan ^a   Ludkovski, Michael ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Markov modulated Poisson processes; Optimal switching

Indexed keywords

BAYESIAN; ECONOMIC POLICIES; EFFICIENT NUMERICAL SCHEMES; FINITE HORIZONS; HIDDEN MARKOV CHAIN MODELS; HIDDEN MARKOV CHAINS; MARKOV MODULATED POISSON PROCESSES; OPTIMAL STRATEGIES; OPTIMAL SWITCHING; POINT PROCESS; POISSON DISORDER PROBLEMS; STATE VARIABLES; VALUE FUNCTIONS; VARIABLE DEMANDS;

ECONOMICS; OPTIMIZATION; PLANNING; POISSON DISTRIBUTION; POISSON EQUATION; SIGNAL THEORY;

HIDDEN MARKOV MODELS;

EID: 64549161212     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.09.003     Document Type: Article

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