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The Kalman-Bucy filter for integrable Lévy processes with infinite second moment - MaRDI portal

The Kalman-Bucy filter for integrable Lévy processes with infinite second moment (Q3449922)

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The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
scientific article

    Statements

    title
    The Kalman-Bucy filter for integrable Lévy processes with infinite second moment (English)
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    author
    David Applebaum
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    Stefan Blackwood
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    publication date
    30 October 2015
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    zbMATH Keywords
    Kalman-Bucy filter
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    Lévy processes
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    Riccati equation
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    Identifiers

    Mathematics Subject Classification ID
    60G35
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    60G51
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    60H10
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    93E11
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    62M20
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    zbMATH DE Number
    6502527
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    OpenAlex ID
    W2102105149
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    arXiv ID
    1306.5103
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