|
|
| 1. |
Équations du filtrage pour un processus de poisson mélangé á deux indices |
| |
Stochastics,
Volume 4,
Issue 2,
1980,
Page 89-119
G. Mazziotto,
J. Szpirglas,
Preview
|
PDF (1057KB)
|
|
摘要:
Observed point data on a rectangleDofare represented by a doubly stochastic Poisson measureY. Its intensity is supposed to be a known function of a two-parameter processX, a semi-martingale of a Brownian sheet. As in the one-parameter case, the identification of the model goes through a recursive estimation ofX. For three types of exploration ofD— vertical, horizontal and diagonal—, we wish to derive filtering equations according to a partial ordering of. These are obtained by the reference probability method
ISSN:0090-9491
DOI:10.1080/17442508008833157
出版商:Gordon and Breach Science Publishers Inc
年代:1980
数据来源: Taylor
|
| 2. |
Integral representation with respect to stopped continuous local martingales |
| |
Stochastics,
Volume 4,
Issue 2,
1980,
Page 121-142
H. J. Engelbert,
Juliane Hess,
Preview
|
PDF (702KB)
|
|
ISSN:0090-9491
DOI:10.1080/17442508008833158
出版商:Gordon and Breach Science Publishers Inc
年代:1980
数据来源: Taylor
|
| 3. |
Representation results for jump processes with application to optimal stopping |
| |
Stochastics,
Volume 4,
Issue 2,
1980,
Page 143-165
Michael Kohlmannt,
Armand Makowski,
Raymond Rishel,
Preview
|
PDF (574KB)
|
|
摘要:
It is shown that functions, measurable on the past of a jump process up to a stopping time, can be expressed as functions of the jump times and jump locations up to the stopping time. These results lead to formulas for conditional expectations with respect to the past of the process up to the stopping time. The use of these results is illustrated in giving a sufficient condition for optimality for optimal stopping of a partially observed jump Markov process.
ISSN:0090-9491
DOI:10.1080/17442508008833159
出版商:Gordon and Breach Science Publishers Inc
年代:1980
数据来源: Taylor
|
| 4. |
Finite dimensional optimal filters for a class of ltô- processes with jumping parameters |
| |
Stochastics,
Volume 4,
Issue 2,
1980,
Page 167-183
T. Björk,
Preview
|
PDF (439KB)
|
|
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.
ISSN:0090-9491
DOI:10.1080/17442508008833160
出版商:Gordon and Breach Science Publishers Inc
年代:1980
数据来源: Taylor
|
|
首页
