Tid: 25 september 2009 kl 15.15-16.30

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Thomas Kaijser, Matematiska institutionen, Linköpings universitet

Titel: On partially observed Markov chains

Abstract

Let {X(n)} denote a Markov chain and {Y(n)} denote a sequence of "partial" observations of the {X(n)} process. Let Z(n) denote the conditional distribution of X(n) given the partial observation {Y(m), m = 1,2,...,n}. The process {Z(n)} is often called the filtering process.

The purpose of this talk is to present a limit theorem for the distribution of Z(n) for the case when the state space of X(n) is denumerable.

Till seminarielistan
To the list of seminars