Filtering of the Markov jump process given the observations of multivariate point process

The problem of optimal filtering of the Markov process with finite number of states through the discrete observations arriving at random time instants was formulated and resolved. It was established that the desired estimate obeys a finite-dimensional differential-difference system which admits an explicit solution. The theoretical results obtained are applicable to the problem of monitoring the telecommunication link.

Presented by the member of Editorial Board: A. P. Kurdyukov