This paper is concerned with the adaptive prediction for stochastic processes with abruptly changing parameters modelled as a finite-state Markov chain. The Markov transition matrix is assumed to be known. For the coloured noise disturbance case, it is shown that the optimal prediction algorithm req
β¦ LIBER β¦
The disorder problem for stochastic jump processes
β Scribed by G. I. Salov
- Book ID
- 111510931
- Publisher
- Allerton Press Inc
- Year
- 2008
- Tongue
- English
- Weight
- 120 KB
- Volume
- 44
- Category
- Article
- ISSN
- 8756-6990
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Adaptive prediction for stochastic proce
β
Qi Xiao-Jiang
π
Article
π
1988
π
John Wiley and Sons
π
English
β 720 KB
Sufficient and Necessary Conditions for
β
Yuhui Zhang
π
Article
π
2000
π
Institute of Mathematics, Chinese Academy of Scien
π
English
β 226 KB
Backward Stochastic Difference Equations
β
Leo Shen, Robert J. Elliott
π
Article
π
2011
π
Springer US
π
English
β 363 KB
Hyperfinite stochastic integration for L
β
Frederik S. Herzberg
π
Article
π
2010
π
Elsevier Science
π
French
β 229 KB
This article links the hyperfinite theory of stochastic integration with respect to certain hyperfinite LΓ©vy processes with the elementary theory of pathwise stochastic integration with respect to pure-jump LΓ©vy processes with finite-variation jump part. Since the hyperfinite ItΓ΄ integral is also de
Stochastic integrals for martingales of
β
Robert J. Elliott
π
Article
π
1976
π
Springer
π
English
β 505 KB
On the linear prediction problem for cer
β
Harald CramΓ©r
π
Article
π
1960
π
Springer Netherlands
π
English
β 421 KB