Filtering of finite-state time-nonhomogeneous markov processes: A direct approach

Nicolai V Krylov, A. Zatezalo

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

A filtering equation is derived for P (xt = xys, S ∈ [0, t]) for a continuous-time finite-state two-component time-nonhomogeneous cadlag Markov process Zt = (xt, yt). The derivation is based on some new ideas in the filtering theory and does not require any knowledge of stochastic integration.

Original languageEnglish (US)
Pages (from-to)229-258
Number of pages30
JournalApplied Mathematics and Optimization
Volume42
Issue number3
DOIs
StatePublished - 2000

Keywords

  • Filtering
  • Finite-state Markov processes

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