Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise

DOI10.1017/APR.2018.19MaRDI QIDQ5215007zbMATH OpenOpenAlexFDO

Authors Huijie Qiao

Publication date 5 February 2020

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.07822

zbMATH Keywords

Kushner-Stratonovich equationpathwise uniquenessuniqueness in joint lawZakai equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In the article, Zakai and Kushner-Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system are considered. Moreover, we prove that under some general assumption, the Zakai equation has pathwise uniqueness and uniqueness in joint law, and the Kushner-Stratonovich equation is unique in joint law.

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Cited in

(7)

• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
• Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• scientific article; zbMATH DE number 1182890 (Why is no real title available?)
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach

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