Accession Number : ADA189701
Title : Filtering of Jump Processes.
Descriptive Note : Annual rept. 30 Sep 86-30 Sep 87,
Corporate Author : ALBERTA UNIV EDMONTON DEPT OF STATISTICS AND APPLIED PROBABILITY
Personal Author(s) : Elliott, Robert J
PDF Url : ADA189701
Report Date : 30 Oct 1987
Pagination or Media Count : 7
Abstract : The focus of this research is the filtering jump processes. To investigate the filtering of manifold-valued processes, their approximation by random walks and Markov chains was studied. The object was to approximate a signal process by a finite-state jump process for which a finite-dimensional filter is available. Keywords: Filtering, Stochastic control, Minimum principle, Martingale representation, Probability densities, Malliavin calculus.
Descriptors : *MARKOV PROCESSES, *MATHEMATICAL FILTERS, CALCULUS, FILTERS, SIGNAL PROCESSING, SIZES(DIMENSIONS), STOCHASTIC CONTROL, PROBABILITY DENSITY FUNCTIONS, BROWNIAN MOTION
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE