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Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise - MaRDI portal

Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise

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Publication:4943903

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DOI10.1137/S0036139996312004zbMath0945.60031MaRDI QIDQ4943903

Hyungsok Ahn, Raisa Epstein Feldman

Publication date: 19 March 2000

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

nonlinear filtering Lévy process non-Gaussian noise infinitely-divisible law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Related Items (2)

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

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