2 papers
math.PR2007
Filtering the Wright-Fisher diffusion
Mireille Chaleyat-Maurel, Valentine Genon-Catalot
We consider a Wright-Fisher diffusion (x(t)) whose current state cannot be observed directly. Instead, at times t1 < t2 < . . ., the observations y(ti) are such that, given the pro…
math.PR2005
Computable infinite dimensional filters with applications to discretized diffusion processes
Mireille Chaleyat-Maurel, Valentine Genon-Catalot
Let us consider a pair signal-observation ((xn,yn),n 0) where the unobserved signal (xn) is a Markov chain and the observed component is such that, given the whole sequence (xn), t…