Let (X t , Y t ) be a pure jump Markov process: the state X t takes real values and the observation Y t is a counting process. The two processes are allowed to have common jump times. Let ϕ(X(⋅)) be a functional of the state trajectory restricted to the time interval [0, T] . If we change the infinitesimal parameters and/ or the initial distribution, then we introduce an error in computing the conditional law of ϕ(X(⋅)) given the observation up to time T . In this paper we give an explicit L 1 -bound for this error.
Applied Mathematics and Optimization – Springer Journals
Published: Jan 1, 2001
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