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Filtering of Finite-State Time-Nonhomogeneous Markov Processes, a Direct Approach

Filtering of Finite-State Time-Nonhomogeneous Markov Processes, a Direct Approach . A filtering equation is derived for P(xt=x|ys,s∈[0,t])for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process zt=(xt,yt) . The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics & Optimization Springer Journals

Filtering of Finite-State Time-Nonhomogeneous Markov Processes, a Direct Approach

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References (7)

Publisher
Springer Journals
Copyright
Copyright © Springer-Verlag New York Inc. 2000
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s002450010012
Publisher site
See Article on Publisher Site

Abstract

. A filtering equation is derived for P(xt=x|ys,s∈[0,t])for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process zt=(xt,yt) . The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration.

Journal

Applied Mathematics & Optimization – Springer Journals

Published: Nov 1, 2000

Keywords: Key words. Finite-state Markov processes, Filtering. AMS Classification. 60G35, 62M20.

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