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Finite dimensional optimal filters for a class of ltô- processes with jumping parameters

 

作者: T. Björk,  

 

期刊: Stochastics  （Taylor Available online 1980）
卷期: Volume 4, issue 2  

页码: 167-183

 

ISSN:0090-9491

 

年代: 1980

 

DOI:10.1080/17442508008833160

 

出版商: Gordon and Breach Science Publishers Inc

 

数据来源: Taylor

 

摘要:

We consider a finite state Markov process θ, feeding the coefficients of a linear Itô-equation with state ξ. The θ-process is observed in white noise, and it is shown that the optimal nonlinear filter for ξ, is of finite dimension. We also derive finite dimensional equations for optimal prediction and smoothing.

 

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