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

DOI10.1017/apr.2018.19zbMath1441.60033arXiv1707.07822OpenAlexW2963732121MaRDI QIDQ5215007

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

pathwise uniquenessZakai equationKushner-Stratonovich equationuniqueness in joint law

Mathematics Subject Classification ID

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

Related Items (2)

Nonlinear filtering of stochastic differential equations with correlated Lévy noises ⋮ Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces

Cites Work

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• On the innovations conjecture of nonlinear filtering with dependent data
• Unique characterization of conditional distributions in nonlinear filtering
• Theory of stochastic differential equations with jumps and applications.
• On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
• Nonlinear Filtering for Jump Diffusion Observations
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• No Arbitrage and General Semimartingales

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