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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 1, Pages 177–180
(Mi tvp3300)
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Short Communications
A forward interpolation equation of a semimartingale by observations over a point process
N. V. Kvashko M. V. Lomonosov Moscow State University
Abstract:
Let $(\Omega,\mathcal{F}_\infty,\mathbf{P})$ be a complete probability space, and let $(\mathcal{F}_t )$, $t\in\mathbf{R}_ + $, be a nondecreasing right-continuous family of sub-$\sigma $-algebras of $\mathcal{F}_\infty$ completed by sets from $\mathcal{F}_\infty$ of zero probability. A two-dimensional partially observable stochastic process is given on the probability space $(\Omega,\mathcal{F}_\infty,\mathbf{P})$, where $\theta _t $ is an $(\mathcal{F}_t )$-adapted, $0\leq t<\infty$, unobservable component and $(T_n ,X_n)$, $n \ge 1$, is an observable one. We consider the problem of optimal interpolation, which consists of finding an optimal mean square estimate $\theta_s$ from the observations of the process $(T_n,X_n)$ on $[0,t]$, $t\geq s$. This paper contains a deduction of an equation of optimal nonlinear interpolation on the basis of an equation of optimal nonlinear filtering.
Keywords:
probability space, $\sigma $-algebra, point process, jump measure of a process, filtration of observations, martingale, semimartingale, drift, Dolé, ans measure, compensator, filtering, interpolation.
Received: 10.08.1992
Citation:
N. V. Kvashko, “A forward interpolation equation of a semimartingale by observations over a point process”, Teor. Veroyatnost. i Primenen., 40:1 (1995), 177–180; Theory Probab. Appl., 40:1 (1995), 162–165
Linking options:
https://www.mathnet.ru/eng/tvp3300 https://www.mathnet.ru/eng/tvp/v40/i1/p177
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