Nonlinear filtering of stochastic differential equations with correlated Lévy noises

DOI10.1080/17442508.2020.1868471zbMath1496.60052arXiv1907.06779WikidataQ115295062 ScholiaQ115295062MaRDI QIDQ5086724

Huijie Qiao

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.06779

zbMATH Keywords

pathwise uniqueness; nonlinear filtering problems; correlated Lévy noises; Kushner-Stratonovich and Zakai equations; uniqueness in joint law

Mathematics Subject Classification ID

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

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60G57: Random measures