Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage

1 June 1977

journal article
Published by Cambridge University Press (CUP) in Advances in Applied Probability

Vol. 9 (2) , 362-416
https://doi.org/10.2307/1426391

Abstract

This paper contains a review of the results of the martingale approach to point processes and its applications to the theory of dynamical systems (in the engineering sense), mainly estimation problems.Some of the topics reviewed are: stochastic intensity, absolutely continuous changes of measure, martingale representations, changes of times, filtering, queues, etc.

Keywords

This publication has 57 references indexed in Scilit:

Optimal control of noisy finite-state Markov processes
IEEE Transactions on Automatic Control, 1977
A separation theorem for stochastic control problems with point-process observations
Automatica, 1977
The Modeling of Adaptive Routing in Data-Communication Networks
IEEE Transactions on Communications, 1977
Représentation des martingales de carré integrable relative aux processus de Wiener et de Poisson à n paramètres
Probability Theory and Related Fields, 1976
The structure of jump processes and related control problems
Published by Springer Nature ,1976
Sur les helices du flot special sous une fonction
Probability Theory and Related Fields, 1974
Information processing for observed jump processes
Information and Control, 1973
Doubly stochastic Poisson processes and process control
Advances in Applied Probability, 1972
On the optimal filtering of diffusion processes
Probability Theory and Related Fields, 1969
On discontinuous additive functionals and Lévy measures of a Markov process
Japanese journal of mathematics :transactions and abstracts, 1964