On partially observed jump diffusions. II: The filtering density

DOI10.1007/S40072-023-00311-YMaRDI QIDQ6606151zbMATH OpenFDO

Authors A. M. Davie, Fabian Germ, István Gyöngy

Publication date 16 September 2024

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

jump diffusionsstochastic differential equationsrandom measuresnonlinear filteringLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients
• Kalman-Bucy filter and SPDEs with growing lower-order coefficients in \(W_{p}^{1}\) spaces without weights
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
• On Conditional Distributions of Degenerate Diffusion Processes
• On Itô formulas for jump processes
• On \(L_p\)-solvability of stochastic integro-differential equations
• On solvability of integro-differential equations
• On stochastic equations with respect to semimartingales I.^†
• On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
• On the Itô--Wentzell formula for distribution-valued processes and related topics
• Particle representations for a class of nonlinear SPDEs
• Stochastic evolution systems. Linear theory and applications to non-linear filtering
• Équations du filtrage non linéaire de la prédiction et du lissage

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