Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage

Abstract

This paper contains a review of the results of the martingale approach to point processes and its applications to the theory of dynamical systems (in the engineering sense), mainly estimation problems.Some of the topics reviewed are: stochastic intensity, absolutely continuous changes of measure, martingale representations, changes of times, filtering, queues, etc.