Nonlinear filtering of stochastic dynamical systems with Lévy noises

DOI10.1239/aap/1444308887zbMath1326.60086OpenAlexW2110350207MaRDI QIDQ3450515

Huijie Qiao, Jin-qiao Duan

Publication date: 6 November 2015

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

Full work available at URL: https://doi.org/10.1239/aap/1444308887

zbMATH Keywords

stochastic partial differential equationsnonlinear filteringZakai equationLévy noisestochastic dynamical systemsKushner-Stratonovich equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stable stochastic processes (60G52)

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