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

DOI10.1017/apr.2018.19zbMath1441.60033arXiv1707.07822MaRDI 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 uniqueness; Zakai equation; Kushner-Stratonovich equation; uniqueness in joint law

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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