Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise. (26th July 2018)
- Record Type:
- Journal Article
- Title:
- Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise. (26th July 2018)
- Main Title:
- Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise
- Authors:
- Qiao, Huijie
- Abstract:
- Abstract: In the paper we study the Zakai and Kushner–Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system. Moreover, we prove that under some general assumption, the Zakai equation has pathwise uniqueness and uniqueness in joint law, and the Kushner–Stratonovich equation is unique in joint law.
- Is Part Of:
- Advances in applied probability. Volume 50:Number 2(2018)
- Journal:
- Advances in applied probability
- Issue:
- Volume 50:Number 2(2018)
- Issue Display:
- Volume 50, Issue 2 (2018)
- Year:
- 2018
- Volume:
- 50
- Issue:
- 2
- Issue Sort Value:
- 2018-0050-0002-0000
- Page Start:
- 396
- Page End:
- 413
- Publication Date:
- 2018-07-26
- Subjects:
- Zakai equation, -- Kushner–Stratonovich equation, -- uniqueness in joint law, -- pathwise uniqueness
Primary 60G35, -- 60G51, -- 60H10
Probabilities -- Periodicals
Stochastic models -- Periodicals
Electronic journals
Periodicals
519.2 - Journal URLs:
- http://www.appliedprobability.org/content.aspx?Group=journals&Page=apjournals ↗
- DOI:
- 10.1017/apr.2018.19 ↗
- Languages:
- English
- ISSNs:
- 0001-8678
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 7029.xml