Finite optimal filters for a class of nonlinear diffusions with jumping parameters
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 6 (2) , 121-138
- https://doi.org/10.1080/17442508208833198
Abstract
We consider a Markovian jump process θ, with finite state space, feeding the parameters of a nonlinear diffusion process X. We observe θ and X in white noise, and—given a function f—we want 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, and we give necessary and. sufficient conditions for this to happen.Keywords
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