Nonlinear filtering in spatio-temporal doubly stochastic point processes driven by OU processes

Abstract

Doubly stochastic point processes driven by non-Gaussian processes of Ornstein-Uhlenbeck type are studied. In the spatio-temporal case a filtering equation for the conditional mean is derived.

Keywords

• Nonlinear
• filtering
• spatio-temporal
• doubly
• stochastic
• point
• processes
• driven
• processes