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

被引：0

作者：

N. V. Krylov

A. Zatezalo

机构：

[1] 127 Vincent Hall,

[2] University of Minnesota,undefined

[3] Minneapolis,undefined

[4] MN 55455,undefined

[5] USA\{krylov,undefined

[6] zatezal\}@math.umn.edu,undefined

来源：

Applied Mathematics & Optimization | 2000年 / 42卷

关键词：

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

D O I：

暂无

中图分类号：

学科分类号：

摘要：

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.

引用

页码：229 / 258

页数：29