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

DOI10.1239/jap/1445543837zbMath1326.60051arXiv1306.5103OpenAlexW2102105149MaRDI QIDQ3449922

Stefan Blackwood, David Applebaum

Publication date: 30 October 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.5103

zbMATH Keywords

Lévy processesRiccati equationKalman-Bucy filter

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (2)

On \(L_p\)-solvability of stochastic integro-differential equations ⋮ The algorithm of adaptive determination of amplification of the PD filter estimating object state on the basis of signal measurable on-line

Cites Work

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• Financial Modelling with Jump Processes
• Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise
• The Kalman-Lévy filter
• Stochastic differential equations. An introduction with applications.

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