论文信息 - Counting Observations: A Note on State Estimation Sensitivity with an L1 -Bound

Counting Observations: A Note on State Estimation Sensitivity with an L1 -Bound

Abstract. Let (Xt, Yt) be a pure jump Markov process: the state Xt takes real values and the observation Yt 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 L1 -bound for this error.

Antonella Calzolari | Giovanna Nappo | G. Nappo | A. Calzolari

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