Filtering of Jump Processes.
Abstract
The focus of this research is the filtering jump processes. To investigate the filtering of manifold-valued processes, their approximation by random walks and Markov chains was studied. The object was to approximate a signal process by a finite-state jump process for which a finite-dimensional filter is available. Keywords: Filtering, Stochastic control, Minimum principle, Martingale representation, Probability densities, Malliavin calculus.
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 30, 1987
- Accession Number
- ADA189701
Entities
People
- Robert J. Elliott
Organizations
- University of Alberta