On partially observed jump diffusions. II: The filtering density
DOI10.1007/S40072-023-00311-YMaRDI QIDQ6606151FDOQ6606151
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)
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Cites Work
- Particle representations for a class of nonlinear SPDEs
- On \(L_p\)-solvability of stochastic integro-differential equations
- On stochastic equations with respect to semimartingales I.†
- On Itô formulas for jump processes
- On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
- Nonlinear filtering of stochastic dynamical systems with Lévy noises
- On the Itô--Wentzell formula for distribution-valued processes and related topics
- Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients
- ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
- Équations du filtrage non linéaire de la prédiction et du lissage
- Stochastic evolution systems. Linear theory and applications to non-linear filtering
- Nonlinear filtering of stochastic differential equations with correlated Lévy noises
- Kalman-Bucy filter and SPDEs with growing lower-order coefficients in \(W_{p}^{1}\) spaces without weights
- On solvability of integro-differential equations
- Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
- On Conditional Distributions of Degenerate Diffusion Processes
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