A generalization of the Kalman filter to models with infinite variance

DOI10.1016/0304-4149(93)90095-LzbMath0791.60033MaRDI QIDQ689167

Marek Musiela, Alain Le Breton

Publication date: 14 July 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

predictionsmoothingcàdlàg semimartingalesKalman-Bucy equationslinear filtering system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (4)

The Kalman-Bucy filter for integrable Lévy processes with infinite second moment ⋮ A simple proof for the Kalman-Bucy smoothed estimate formula ⋮ The Kalman-Lévy filter ⋮ On the stochastic linear regulator problem for systems with infinite invariance

Cites Work

• Unnamed Item
• On the strong law of large numbers for multivariate martingales
• Innovations and Wold decompositions of stable sequences
• Minimum error dispersion linear filtering of scalar symmetric stable processes

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