Nonlinear filtering for jump-diffusions
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摘要
The paper treats the nonlinear filtering problem for jump-diffusion processes. The optimal filter is derived for a stochastic system where the dynamics of the signal variable is described by a jump-diffusion equation. The optimal filter is described by stochastic integral equations.
论文关键词：60G35,60H20,60J75,Nonlinear filtering,Jump-diffusions,Poisson process,Measure transformation
论文评审过程：Received 10 November 2005, Available online 28 December 2005.
论文官网地址：https://doi.org/10.1016/j.cam.2005.11.014
