FINITE OPTIMAL FILTERS FOR A CLASS OF NONLINEAR DIFFUSIONS WITH JUMPING PARAMETERS.

被引：6

作者：

Bjork, Tomas

机构：

来源：

Stochastics | 1982年 / 6卷 / 02期

关键词：

NONLINEAR DIFFUSIONS - OPTIMAL FITERS;

D O I：

10.1080/17442508208833198

中图分类号：

学科分类号：

摘要：

A Markovian jump process theta , with finite state space, feeding the parameters of a nonlinear diffusion process X is considered. theta and X are observed in white noise. Given a function f, it is desired to construct a finite filter for the f(X//t)-process. An algorithm is investigated which will produce a finite filter if it halts after a finite number of steps. Necessary and sufficient conditions for this to happen are presented.

引用

页码：121 / 138

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