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Filtering of continuous-time Markov chains

✍ Scribed by L. Aggoun; L. Benkherouf; L. Tadj

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
685 KB
Volume
26
Category
Article
ISSN
0895-7177

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✦ Synopsis

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 various estimators are derived.

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