WIAS Preprint No. 16, (1992)

Higher order approximate Markov chain filters.


Authors

  • Kloeden, Peter E.
  • Platen, Eckhard
  • Schurz, Henri

2010 Mathematics Subject Classification

  • 60G35 93E11

Keywords

  • approximate discrete time filters for continuous time finite-state Markov chains, Wiener process

DOI

10.20347/WIAS.PREPRINT.16

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.

Appeared in

  • Cambanis, Stamatis (ed.) et al., Stochastic processes: a festschrift in honour of Gopinath Kallianpur. New York: Springer-Verlag. 181-190 (1993).

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