Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
DOI10.1007/S10444-024-10169-WMaRDI QIDQ6601289
Fengshan Zhang, Yanzhao Cao, Yongkui Zou, Shimin Chai
Publication date: 10 September 2024
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
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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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Jump processes on general state spaces (60J76)
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