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.
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页码：139 / 154
页数：15
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