Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
stochastic differential equationsdifference methodnonlinear filteringconvergence ordersplitting-up techniqueLévy process
Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Jump processes on general state spaces (60J76)
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