Let (X t ,Y t ) be a pure jump Markov process, where X t takes values in \bf R and Y t is a counting process. We compare the filter of this system and a filter of a suitably modified system. We compute an explicit bound for the distance in the so-called bounded Lipschitz metric between the two filters. Finally we show how to use this bound to construct a discrete space approximation of the filter.
Applied Mathematics and Optimization – Springer Journals
Published: Jan 1, 2000
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