Filtering of a Markov jump process with counting observations

Ceci C; Gerardi A

Applied Mathematics and Optimization, Vol.42, No.1, 1-18, 2000

This paper concerns the filtering of an R-d-valued Markov pure jump process when only the total number of jumps are observed. Strong and weak uniqueness for the solutions of the filtering equations are discussed.

Keywords:Markov jump processes;filtering