Feller property of regime-switching jump diffusion processes with hybrid jumps

The transition kernel of an ℝ ⁿ-valued diffusion or jump diffusion process {X _t} is known to satisfy the Feller property if {X _t} is the solution of an SDE whose coefficients are Lipschitz continuous. This Lipschitz route to Feller falls short if {X _t} is the solution of an SDE whose coefficients...

An FM Chirp Waveform Generator and Detector for Radar: Sawtooth Generator and FM Detector

The "FM Chirp Waveform Generator and Detector for Radar" is a Bachelor graduation project with an educational purpose. In this thesis, two modules of the whole system are designed and simulated. In particular, the sawtooth generator and the FM detector. The sawtooth generator is used to generate a linearly increasing signal, which can be used to...

Detection-filter representations for Markov jump diffusions

The problem considered is filtering for Gaussian observations of linear differential systems that are driven by both Wiener processes and marked Poisson point processes. Well-known representations of the MMSE-filter for such a Markov jump-diffusion are a differential for the evolution of its conditional density or differentials for all its...