Nonlinear filtering of Itô-Lévy stochastic differential equations with continuous observations
نویسندگان
چکیده
منابع مشابه
Nonlinear Filtering of Itô-lévy Stochastic Differential Equations with Continuous Observations
We study the n-dimensional nonlinear filtering problem for jumpdiffusion processes. The optimal filter is derived for the case when the observations are continuous. A proof of uniqueness is presented under fairly general circumstances.
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2009
ISSN: 0973-9599
DOI: 10.31390/cosa.3.3.01