Title :
New finite dimensional filters for mixed time-scale dynamics
Author :
Malcolm, W.P. ; Elliott, R.J.
Author_Institution :
Sch. of Appl. Math., Adelaide Univ., SA, Australia
Abstract :
New finite dimensional filters are computed for a discrete-time Markov chain observed through continuous-time observation processes. Two observation models are considered; in the first model, the state process is observed through a Wiener process, while in the second model, it is observed through a Poisson process. The filters computed do not include stochastic integrations.
Keywords :
Markov processes; Wiener filters; discrete time filters; filtering theory; multidimensional digital filters; Poisson process; Wiener process; discrete-time Markov chain; finite dimensional filters; martingales; mixed time-scale dynamics; process dynamics; reference probability; state process; stochastic integrations; Filtering; Filters; Indexing; Machinery; Markov processes; Mathematical model; Mathematics; Robustness; State-space methods; Stochastic processes;
Conference_Titel :
Signals, Systems and Computers, 2002. Conference Record of the Thirty-Sixth Asilomar Conference on
Conference_Location :
Pacific Grove, CA, USA
Print_ISBN :
0-7803-7576-9
DOI :
10.1109/ACSSC.2002.1197294
