Robust Approximations for the Filtering Problem
Abstract
A diffusion observation process is approximated by a Markov chain. The information obtained by observing the Markov chain is the same as that obtained by observing a related multivariate point process. Filtering and Zakai equations are obtained for multivariate point process observations. These involve Stieltjes integrals rather than Ito integrals with respect to Brownian motion, and so they provide robust formulae, that is, formulae which are continuous in the observation process. (kr)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1982
- Accession Number
- ADA222409
Entities
People
- Robert J. Elliott
Organizations
- University of Alberta