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. Let (Xt,Yt)be a pure jump Markov process, where Xttakes values in \bf R and Ytis 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 & Optimization – Springer Journals
Published: Jan 1, 2000
Keywords: Key words. Filtering, Counting process, Jump Markov process, Coupling. AMS Classification. 60G35, 60J75, 60F99.
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