Let (X-t, Y-t) be a pure jump Markov process, where X-t takes values in R and Y-t is a counting process. We compare the filter of this system and a filter of a suitably modified system. We compute an explicit bound for the distance in the so-called bounded Lipschitz metric between the two filters. Finally we show how to use this bound to construct a discrete space approximation of the filter.
Robust approximation in a filtering problem with real state space and counting observations / A., Calzolari; Nappo, Giovanna. - In: APPLIED MATHEMATICS AND OPTIMIZATION. - ISSN 0095-4616. - STAMPA. - 42:1(2000), pp. 51-71. [10.1007/s002450010002]
Robust approximation in a filtering problem with real state space and counting observations
NAPPO, Giovanna
2000
Abstract
Let (X-t, Y-t) be a pure jump Markov process, where X-t takes values in R and Y-t is a counting process. We compare the filter of this system and a filter of a suitably modified system. We compute an explicit bound for the distance in the so-called bounded Lipschitz metric between the two filters. Finally we show how to use this bound to construct a discrete space approximation of the filter.File allegati a questo prodotto
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