Filtering of continuous-time Markov chai
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L. Aggoun; L. Benkherouf; L. Tadj
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Article
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1997
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Elsevier Science
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English
⚖ 685 KB
This paper discusses finite-dimensional optimal filters for partially observed Markov chains. A model for a system containing a finite number of components where each component behaves like an independent finite state continuous-time Markov chain is considered. Using measure change techniques variou