Filtering of finite-state time-nonhomogeneous Markov processes, a direct approach

Authors
Krylov, NV Zatezalo, A
Citation
Nv. Krylov et A. Zatezalo, Filtering of finite-state time-nonhomogeneous Markov processes, a direct approach, APPL MATH O, 42(3), 2000, pp. 229-258
Citations number
9
Categorie Soggetti
Mathematics
Journal title
APPLIED MATHEMATICS AND OPTIMIZATION
ISSN journal
00954616 → ACNP
Volume
42
Issue
3
Year of publication
2000
Pages
229 - 258
Database
ISI
SICI code
0095-4616(200011/12)42:3<229:FOFTMP>2.0.ZU;2-S
Abstract
A filtering equation is derived for P (x(1) = x\y(s), s is an element of [0 , t]) fora continuous-time finite-state two-component time-nonhomogeneous c adlag Markov process z(y) = (x(t), y(t)). The derivation is based on some n ew ideas in the filtering theory and does not require any knowledge of stoc hastic integration.