Filtering of a Markov jump process with counting observations

Authors
Ceci, C Gerardi, A
Citation
C. Ceci et A. Gerardi, Filtering of a Markov jump process with counting observations, APPL MATH O, 42(1), 2000, pp. 1-18
Citations number
7
Categorie Soggetti
Mathematics
Journal title
APPLIED MATHEMATICS AND OPTIMIZATION
ISSN journal
00954616 → ACNP
Volume
42
Issue
1
Year of publication
2000
Pages
1 - 18
Database
ISI
SICI code
0095-4616(200007/08)42:1<1:FOAMJP>2.0.ZU;2-I
Abstract
This paper concerns the filtering of an R-d-valued Markov pure jump process when only the total number of jumps are observed. Strong and weak uniquene ss for the solutions of the filtering equations are discussed.