A Bayes formula for nonlinear filtering with Gaussian and Cox noise

DOI10.1155/2011/259091MaRDI QIDQ764410zbMATH OpenOpenAlexWikidataFDO

Authors V. S. Mandrekar, Thilo Meyer-Brandis, F. Proske

Publication date 13 March 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/259091

zbMATH Keywords

Cox noiseGaussian noiseMarkovian jump diffusionnonlinear filterZakai-type equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Review text

Summary: A Bayes-type formula is derived for the nonlinear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well-known Kallianpur-Striebel formula in the classical non-linear filter setting. We also discuss Zakai-type equations for both the unnormalized conditional distribution as well as the unnormalized conditional density in case the signal is a Markovian jump diffusion.

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Cited in

(8)

• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• scientific article; zbMATH DE number 5919850 (Why is no real title available?)
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
• Splitting-up method for Zakai equation with -stable Lévy noise: convergence analysis and applications to nonlinear filtering problems

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