Nonlinear filtering equation of a jump process with counting observations (Q5946224): Difference between revisions

This paper deals with filtering of an \(R^d\)-valued Markov pure jump process \((X_t)\) given an observation process \((Y_t)\) which is a point process. In a previous paper [Appl. Math. Optimization 42, No. 1, 1-18 (2000; Zbl 0963.60080)], the authors have proved weak and strong uniqueness for the solution of the Kushner-Stratonovich (KS) equation, when \((Y_t)\) is the process that counts the jumps of \((X_s)\) up to time \(t\). In the present work they address these problems in the more general case where \((X_t,Y_t)\) is a pure jump Markov process whose components may be strongly dependent. They provide conditions for weak and strong uniqueness of the solution of (KS) when no independence assumption is made on the intensities of \((X_t)\) and \((Y_t)\), which may have common jumps.