Nonlinear filtering in spatio-temporal doubly stochastic point processes driven by OU processes

Title:

Nonlinear filtering in spatio-temporal doubly stochastic point processes driven by OU processes

Creator:

Prokešová, Michaela and Beneš, Viktor

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:33021890-cd2b-41a8-a7d3-770c42c137f7
uuid:33021890-cd2b-41a8-a7d3-770c42c137f7

Subject:

Cox process, filtering, and Ornstein-Uhlenbeck process

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

Doubly stochastic point processes driven by non-Gaussian Ornstein-Uhlenbeck type processes are studied. The problem of nonlinear filtering is investigated. For temporal point processes the characteristic form for the differential generator of the driving process is used to obtain a stochastic differential equation for the conditional distribution. The main result in the spatio-temporal case leads to the filtering equation for the conditional mean.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[539]-556

Source:

Kybernetika | 2006 Volume:42 | Number:5

Harvested from:

CDK

Metadata only:

false