Finite state and discrete time approximation for filters

Authors
Gerardi, A Tardelli, P
Citation
A. Gerardi et P. Tardelli, Finite state and discrete time approximation for filters, NONLIN ANAL, 47(4), 2001, pp. 2485-2495
Citations number
12
Categorie Soggetti
Mathematics
Journal title
NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS
ISSN journal
0362546X → ACNP
Volume
47
Issue
4
Year of publication
2001
Pages
2485 - 2495
Database
ISI
SICI code
0362-546X(200108)47:4<2485:FSADTA>2.0.ZU;2-R
Abstract
Given a discrete jump Markov process, when only the total number of jumps i s observed, a sequence of discrete time processes with finite state space, approximating the original one is constructed. Goal of the paper is the con vergence join with an upper bound for the rate of convergence at fixed time of the sequence of related filters.