Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise

DOI10.1137/S0036139996312004zbMath0945.60031MaRDI QIDQ4943903

Hyungsok Ahn, Raisa Epstein Feldman

Publication date: 19 March 2000

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

nonlinear filtering; Lévy process; non-Gaussian noise; infinitely-divisible law

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

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

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes