Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise

DOI10.1016/j.spa.2019.02.009zbMath1471.60052MaRDI QIDQ2289783

Vasileios Maroulas, Jie Xiong, Xiaoyang Pan

Publication date: 24 January 2020

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

Full work available at URL: https://doi.org/10.1016/j.spa.2019.02.009

zbMATH Keywords

uniqueness; nonlinear filtering; large deviations; Lévy noise

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

60F10: Large deviations

60J74: Jump processes on discrete state spaces