Nonlinear Filtering Equation of a Jump Process with Counting Observations

被引：0
|
作者：
Claudia Ceci
Anna Gerardi
机构：
[1] Università di Chieti,Dip. di Scienze
[2] Università de L',Dip. Ingegneria Elettrica
来源：
Acta Applicandae Mathematica | 2001年 / 66卷
关键词：
Markov jump processes; filtering;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study the filtering problem of an Rd-valued pure jump process when the observations is a counting process. We assume that the dynamic of the state and the observations may be strongly dependent and that the two processes may jump together. Weak and pathwise uniqueness of solution of the Kushner–Stratonovich equation are discussed.
引用
收藏
页码：139 / 154
页数：15
相关论文
共 50 条
  • [31] Exponential passive filtering for a class of nonlinear jump systems
    He Shuping
    Liu Fei
    JOURNAL OF SYSTEMS ENGINEERING AND ELECTRONICS, 2009, 20 (04) : 829 - 837
  • [32] Exponential passive filtering for a class of nonlinear jump systems
    He Shuping & Liu Fei Inst
    Journal of Systems Engineering and Electronics, 2009, 20 (04) : 829 - 837
  • [33] Solution of filtering problem with nonlinear observations
    Yau, SST
    Yau, ST
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2005, 44 (03) : 1019 - 1039
  • [34] Nonlinear Kalman filtering for censored observations
    Arthur, Joseph
    Attarian, Adam
    Hamilton, Franz
    Tran, Hien
    APPLIED MATHEMATICS AND COMPUTATION, 2018, 316 : 155 - 166
  • [35] Approximation of the Zakai equation for nonlinear filtering
    Ito, K
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1996, 34 (02) : 620 - 634
  • [36] POISSON'S EQUATION IN NONLINEAR FILTERING
    Laugesen, Richard S.
    Mehta, Prashant G.
    Meyn, Sean P.
    Raginsky, Maxim
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2015, 53 (01) : 501 - 525
  • [37] Poisson's Equation in Nonlinear Filtering
    Laugesen, Richard
    Mehta, Prashant G.
    Meyn, Sean P.
    Raginsky, Maxim
    2014 IEEE 53RD ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2014, : 4185 - 4190
  • [38] The nonlinear Schrodinger equation driven by jump processes
    de Bouard, Anne
    Hausenblas, Erika
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2019, 475 (01) : 215 - 252
  • [39] Approximation of the Kushner equation for nonlinear filtering
    Ito, K
    Rozovskii, B
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2000, 38 (03) : 893 - 915
  • [40] Mode-independent H∞ filtering for a class of nonlinear systems with piecewise homogeneous Markovian jump process
    Liu, Yuhong
    Li, Hui
    Zhong, Qishui
    Zhong, Shouming
    PROCEEDINGS OF THE 36TH CHINESE CONTROL CONFERENCE (CCC 2017), 2017, : 427 - 432
12345