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.
Calzolari, A., Nappo, G. (2000). Robust approximation in a filtering problem with real state space and counting observations. APPLIED MATHEMATICS AND OPTIMIZATION, 42(1), 51-71 [10.1007/s002450010002].
Robust approximation in a filtering problem with real state space and counting observations
CALZOLARI, ANTONELLA;
2000-12-01
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 in questo prodotto:
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