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Kloeden, Peter E. [Author]; Platen, Eckhard [Author]; Schurz, Henri [Author]

Higher order approximate Markov chain filters

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  • Media type: Report; Text; E-Book
  • Title: Higher order approximate Markov chain filters
  • Contributor: Kloeden, Peter E. [Author]; Platen, Eckhard [Author]; Schurz, Henri [Author]
  • imprint: Weierstrass Institute for Applied Analysis and Stochastics publication server, 1992
  • Language: English
  • DOI: https://doi.org/10.20347/WIAS.PREPRINT.16
  • Keywords: article ; approximate discrete time filters for continuous time finite-state Markov chains -- Wiener process ; 60G35 ; 93E11
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: The aim of this paper is to construct higher order approximate discrete time filters for continuous time finite-state Markov chains with observations that are perturbed by the noise of a Wiener process.