Nonlinear filtering of stochastic differential equations with correlated Lévy noises
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Abstract: The work concerns nonlinear filtering problems of stochastic differential equations with correlated L'evy noises. First, we establish the Kushner-Stratonovich and Zakai equations through martingale representation theorems and the Kallianpur-Striebel formula. Second, we show the pathwise uniqueness and uniqueness in joint law of weak solutions for the Zakai equation. Finally, we investigate the uniqueness in joint law of weak solutions to the Kushner-Stratonovich equation.
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Cites work
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Cited in
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- Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
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- Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise
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