Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
DOI10.1016/j.spa.2022.06.007zbMath1492.60098arXiv2004.12944OpenAlexW3017619830MaRDI QIDQ2157331
Elena Bandini, Alessandro Calvia, Katia Colaneri
Publication date: 27 July 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.12944
stochastic filteringjump-diffusion processpure jump processnon quasi-left-continuous random measurepath-dependent local characteristics
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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