We consider a pure jump Markov process (X_t,Y_t) with discrete state space. we suppose that the state X_t is not osbervable and that the observationY_t is a counting process. we construct an approximation for the filter of X_t, given (Y_s, s<=t), by means of a family of piecewise constant processes, depending on the value of Y_t and on the time discretization parameter. Moreover we give an explicit error bound for the convergence of the scheme.
A Filtering Problem with Counting Observations: Approximation with Error Bounds / A., Calzolari; Nappo, Giovanna. - In: STOCHASTICS AND STOCHASTICS REPORTS. - ISSN 1045-1129. - STAMPA. - 57:1(1996), pp. 71-87. [10.1080/17442509608834052]
A Filtering Problem with Counting Observations: Approximation with Error Bounds
NAPPO, Giovanna
1996
Abstract
We consider a pure jump Markov process (X_t,Y_t) with discrete state space. we suppose that the state X_t is not osbervable and that the observationY_t is a counting process. we construct an approximation for the filter of X_t, given (Y_s, s<=t), by means of a family of piecewise constant processes, depending on the value of Y_t and on the time discretization parameter. Moreover we give an explicit error bound for the convergence of the scheme.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
