The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness

DOI10.1007/s00245-013-9217-1zbMath1291.93303arXiv1210.4279OpenAlexW1985873975MaRDI QIDQ2249409

Claudia Ceci, Katia Colaneri

Publication date: 1 July 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.4279

zbMATH Keywords

filteringjump-diffusion processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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