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

Bremaud P.

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

机译：用点过程观测值过滤跳跃过程的平均原理

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摘要

A proof of the following result is given. Le X/sub t/ and Y/sub t/ be two jump processes which modulate the intensity of a multivariate point process N/sub t/, and suppose that the process X/sub t/ is a fast' Markov chain with a unique invariant probability distribution. Then the filtering equations for Y/sub t/ can be obtained by considering, instead of the original problem, the averaged problem where the intensity is replaced by the averaged intensity.

机译：给出以下结果的证明。 Le X / sub t /和Y / sub t /是两个跳跃过程，它们调节多元点过程N / sub t /的强度，并假设过程X / sub t /是具有唯一特征的快速马尔可夫链不变概率分布。然后，可以通过考虑强度被平均强度代替的平均问题而不是原始问题来获得针对Y / sub t /的滤波方程。

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《IEEE Transactions on Information Theory》 |1988年第3期|P.582-586|共5页
作者
Bremaud P.;
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正文语种 eng
中图分类无线电电子学、电信技术;
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An averaging principle for filtering a jump process with point process observations

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