Filtering with discrete state observations

被引：25

作者：

Dufour, F

Elliot, RJ

机构：

[1] Ecole Super Elect, Signaux & Syst Lab, CNRS, F-91192 Gif Sur Yvette, France

[2] Univ Alberta, Dept Math Sci, Edmonton, AB T6G 2G1, Canada

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 1999年 / 40卷 / 02期

关键词：

filtering; Markov chain; counting process; Girsanov's theorem;

D O I：

10.1007/s002459900125

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The problem of estimating a finite state Markov chain observed via a process on the same state space is discussed. Optimal solutions are given for both the "weak" and "strong" formulations of the problem. The "weak" formulation proceeds using a reference probability and a measure change for the Markov chain. The "strong" formulation considers an observation process related to perturbations of the counting processes associated with the Markov chain. In this case the "small noise" convergence is investigated.

引用

页码：259 / 272

页数：14