Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics

DOI10.1016/J.SPA.2022.06.007zbMATH Open1492.60098arXiv2004.12944OpenAlexW3017619830MaRDI QIDQ2157331FDOQ2157331

Elena Bandini, Alessandro Calvia, Katia Colaneri

Publication date: 27 July 2022

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

Abstract: The objective of this paper is to study the filtering problem for a system of partially observable processes $(X,Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides observations. Our model covers the case where both processes are not necessarily quasi left-continuous, allowing them to jump at predictable stopping times. By introducing the Markovian version of the signal, we are able to compute an explicit equation for the filtering process via the innovations approach.

Full work available at URL: https://arxiv.org/abs/2004.12944

zbMATH Keywords

stochastic filteringjump-diffusion processpure jump processnon quasi-left-continuous random measurepath-dependent local characteristics

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Random measures (60G57) Jump processes on general state spaces (60J76)

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Cited In (2)

• Nonlinear filtering equation of a jump process with counting observations
• Weak Dirichlet processes and generalized martingale problems

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