Nonlinear filtering of stochastic differential equations with correlated Lévy noises

DOI10.1080/17442508.2020.1868471zbMath1496.60052arXiv1907.06779OpenAlexW3120948721WikidataQ115295062 ScholiaQ115295062MaRDI QIDQ5086724

Huijie Qiao

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.06779

zbMATH Keywords

pathwise uniquenessnonlinear filtering problemscorrelated Lévy noisesKushner-Stratonovich and Zakai equationsuniqueness in joint law

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57)

Related Items (2)

Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises ⋮ Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces

Cites Work

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