• DocumentCode
    1346137
  • Title

    An averaging principle for filtering a jump process with point process observations

  • Author

    Bremaud, P.

  • Author_Institution
    Ecole Superieure d´´Electr., Gif-sur-Yvette, France
  • Volume
    34
  • Issue
    3
  • fYear
    1988
  • fDate
    5/1/1988 12:00:00 AM
  • Firstpage
    582
  • Lastpage
    586
  • Abstract
    A proof of the following result is given. Le Xt and Yt be two jump processes which modulate the intensity of a multivariate point process N t, and suppose that the process Xt is a fast´ Markov chain with a unique invariant probability distribution. Then the filtering equations for Yt can be obtained by considering, instead of the original problem, the averaged problem where the intensity is replaced by the averaged intensity
  • Keywords
    Markov processes; filtering and prediction theory; probability; averaged intensity; averaging principle; fast Markov chain; filtering; invariant probability distribution; jump process; multivariate point process; point process observations; Gaussian processes; Information filtering; Information filters; Intensity modulation; Probability distribution; Stochastic processes; Taylor series;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/18.6041
  • Filename
    6041
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1346137