On partially observed jump diffusions III. Regularity of the filtering density

arXiv2211.07239MaRDI QIDQ6417152FDOQ6417152

Authors: Fabian Germ, István Gyöngy 

Publication date: 14 November 2022

Abstract: The filtering equations associated to a partially observed jump diffusion model $(Z_t{)}_{tin[0,T]}=(X_t,Y_t{)}_{tin[0,T]}$, driven by Wiener processes and Poisson martingale measures are considered. Building on results from two preceding articles on the filtering equations, the regularity of the conditional density of the signal $X_t$, given observations $(Y_s{)}_{sin[0,t]}$, is investigated, when the conditional density of $X_0$ given $Y_0$ exists and belongs to a Sobolev space, and the coefficients satisfy appropriate smoothness and growth conditions.

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Random measures (60G57) Stochastic integral equations (60H20)

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