Optimal state estimation of a Markov process from point process observations

Tran Hung Thao

Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications (1991)

  • Volume: 96, Issue: 9, page 1-10
  • ISSN: 0246-1501

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Tran Hung Thao. "Optimal state estimation of a Markov process from point process observations." Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications 96.9 (1991): 1-10. <http://eudml.org/doc/80663>.

@article{TranHungThao1991,
author = {Tran Hung Thao},
journal = {Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications},
keywords = {filtering of a Feller-Markov process from point process observations; stochastic differential equation},
language = {eng},
number = {9},
pages = {1-10},
publisher = {UER de Sciences exactes et naturelles de l'Université de Clermont},
title = {Optimal state estimation of a Markov process from point process observations},
url = {http://eudml.org/doc/80663},
volume = {96},
year = {1991},
}

TY - JOUR
AU - Tran Hung Thao
TI - Optimal state estimation of a Markov process from point process observations
JO - Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
PY - 1991
PB - UER de Sciences exactes et naturelles de l'Université de Clermont
VL - 96
IS - 9
SP - 1
EP - 10
LA - eng
KW - filtering of a Feller-Markov process from point process observations; stochastic differential equation
UR - http://eudml.org/doc/80663
ER -

References

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  1. [1] Brémaud, P.Point Processes and Queues, Martingale Dynamic, Springer Series in Mathematics, Springer Verlag, 1980. Zbl0478.60004MR636252
  2. [2] Elliott, Robert J.Filtering and Control for Point Process Observations, Universität Konstanz Fakultät für Wirtschaftswissenschaften und Statistik, Research Report No 09 - 86 - 1, Nr 110/s, May 1988. Zbl0714.93048MR1255161
  3. [3] Kunita, H.Asymptotic Behavior of the Nonlinear Filtering Errors of Markov Process. Zbl0245.93027
  4. [4] Tran Hung Thao, Filtering from Point Process Observations, Preprint, Hanoi. 1986. 

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