Nonlinear filtering with correlated Lévy noise characterized by copulas

DOI10.1214/16-BJPS347zbMath1425.60040arXiv1508.04567WikidataQ59225586 ScholiaQ59225586MaRDI QIDQ1654334

Erika Hausenblas, B. P. W. Fernando

Publication date: 8 August 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04567

zbMATH Keywords

Lévy processesnonlinear stochastic filteringLévy copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators ⋮ Analytic properties of Markov semigroup generated by stochastic differential equations driven by Lévy processes ⋮ On \(L_p\)-solvability of stochastic integro-differential equations

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