Higher Order Approximate Markov Chain Filters

P. E. Kloeden, E. Platen and H. Schurz
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P. E. Kloeden: Deakin University
E. Platen: Australian National University
H. Schurz: Institute Appl. Anal. Stochastics

A chapter in Stochastic Processes, 1993, pp 181-190 from Springer

Abstract: Abstract 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.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-7909-0_21

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DOI: 10.1007/978-1-4615-7909-0_21

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