Filtration of components of processes of random evolution

• Datum: 1998
• Hauptverfasser: Lukin, A. E., Svishchuk, A. V., Лукін, О. Е., Свіщук, А. В.
• Format: Artikel
• Sprache: Ukrainisch; Englisch
• Veröffentlicht: Institute of Mathematics, NAS of Ukraine 1998
• Online Zugang: https://umj.imath.kiev.ua/index.php/umj/article/view/4790
• Назва журналу: Ukrains’kyi Matematychnyi Zhurnal

The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ t,ξt);xt, 0≤t≤T, is investigated on the basis of observations of ξs. s≤t, where x t is a homogeneous Markov process with infinitesimal operator Q. Applications to stochastic models...