Filtering of finite-state time-nonhomogeneous markov processes: A direct approach

Nicolai V Krylov; A. Zatezalo

doi:10.1007/s002450010012

Filtering of finite-state time-nonhomogeneous markov processes: A direct approach

Nicolai V Krylov, A. Zatezalo

School of Mathematics

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

A filtering equation is derived for P (x_t = xy_s, S ∈ [0, t]) for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process Z_t = (x_t, y_t). The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration.

Original language	English (US)
Pages (from-to)	229-258
Number of pages	30
Journal	Applied Mathematics and Optimization
Volume	42
Issue number	3
DOIs	https://doi.org/10.1007/s002450010012
State	Published - 2000

Keywords

Filtering
Finite-state Markov processes

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10.1007/s002450010012

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title = "Filtering of finite-state time-nonhomogeneous markov processes: A direct approach",

abstract = "A filtering equation is derived for P (xt = xys, S ∈ [0, t]) for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process Zt = (xt, yt). The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration.",

keywords = "Filtering, Finite-state Markov processes",

author = "Krylov, {Nicolai V} and A. Zatezalo",

year = "2000",

doi = "10.1007/s002450010012",

language = "English (US)",

volume = "42",

pages = "229--258",

journal = "Applied Mathematics and Optimization",

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publisher = "Springer New York",

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TY - JOUR

T1 - Filtering of finite-state time-nonhomogeneous markov processes

T2 - A direct approach

AU - Krylov, Nicolai V

AU - Zatezalo, A.

PY - 2000

Y1 - 2000

N2 - A filtering equation is derived for P (xt = xys, S ∈ [0, t]) for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process Zt = (xt, yt). The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration.

AB - A filtering equation is derived for P (xt = xys, S ∈ [0, t]) for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process Zt = (xt, yt). The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration.

KW - Filtering

KW - Finite-state Markov processes

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UR - http://www.scopus.com/inward/citedby.url?scp=33645340045&partnerID=8YFLogxK

U2 - 10.1007/s002450010012

DO - 10.1007/s002450010012

M3 - Article

AN - SCOPUS:33645340045

SN - 0095-4616

VL - 42

SP - 229

EP - 258

JO - Applied Mathematics and Optimization

JF - Applied Mathematics and Optimization

IS - 3

ER -

Filtering of finite-state time-nonhomogeneous markov processes: A direct approach

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