Nonlinear filtering with correlated Lévy noise characterized by copulas
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Publication:1654334
DOI10.1214/16-BJPS347zbMath1425.60040arXiv1508.04567WikidataQ59225586 ScholiaQ59225586MaRDI QIDQ1654334
Erika Hausenblas, B. P. W. Fernando
Publication date: 8 August 2018
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.04567
Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (5)
On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators ⋮ Analytic properties of Markov semigroup generated by stochastic differential equations driven by Lévy processes ⋮ Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations ⋮ On \(L_p\)-solvability of stochastic integro-differential equations ⋮ A splitting method for nonlinear filtering problems with diffusive and point process observations
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