The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
نویسندگان
چکیده
منابع مشابه
The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
We extend the Kalman–Bucy filter to the case where both the system and observation processes are driven byfinite dimensional Lévy processes, butwhereas the process driving the system dynamics is square-integrable, that driving the observations is not; however it remains integrable. The main result is that the components of the observation noise that have infinite variance make no contribution t...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2015
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200113348