Title of article
Nonlinear filtering for jump-diffusions
Author/Authors
Rupnik Poklukar، نويسنده , , Darja، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
10
From page
558
To page
567
Abstract
The paper treats the nonlinear filtering problem for jump-diffusion processes. The optimal filter is derived for a stochastic system where the dynamics of the signal variable is described by a jump-diffusion equation. The optimal filter is described by stochastic integral equations.
Keywords
Nonlinear filtering , Jump-diffusions , Measure transformation , Poisson process
Journal title
Journal of Computational and Applied Mathematics
Serial Year
2006
Journal title
Journal of Computational and Applied Mathematics
Record number
1553545
Link To Document