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

DOI10.1007/S00245-013-9217-1zbMATH Open1291.93303arXiv1210.4279OpenAlexW1985873975MaRDI QIDQ2249409FDOQ2249409

Claudia Ceci, Katia Colaneri

Publication date: 1 July 2014

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

Abstract: This paper is concerned with the nonlinear filtering problem for a general Markovian partially observed system (X,Y), whose dynamics is modeled by correlated jump-diffusions having common jump times. At any time t, the sigma-algebra generated by the observation process Y provides all the available information about the signal X. The central goal of stochastic filtering is to characterize the filter which is the conditional distribution of X, given the observed data. It has been proved in Ceci-Colaneri (2012) that the filter is the unique probability measure-valued process satisfying a nonlinear stochastic equation, the so-called Kushner-Stratonovich equation (KS-equation). In this paper the aim is to describe the filter in terms of the unnormalized filter, which is solution to a linear stochastic differential equation, called the Zakai equation. We prove equivalence between strong uniqueness for the solution to the Kushner Stratonovich equation and strong uniqueness for the solution to the Zakai one and, as a consequence, we deduce pathwise uniqueness for the solutions to the Zakai equation by applying the Filtered Martingale Problem approach (Kurtz-Ocone (1988), Kurtz-Nappo (2011), Ceci-Colaneri (2012)). To conclude, we discuss some particular cases.

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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