Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
convergence orderdifference methodLévy processnonlinear filteringsplitting-up techniquestochastic differential equations
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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Jump processes on general state spaces (60J76) Numerical solutions to stochastic differential and integral equations (65C30)
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