Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
Author:
Funder
National Natural Science Foundation of China
China Scholarship Council
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Analysis
Link
https://link.springer.com/content/pdf/10.1007/s00030-021-00741-4.pdf
Reference18 articles.
1. Applebaum, D.: Lévy Processes and Stochastic Calculus, 2nd edn. Cambridge University Press, Cambridge (2009)
2. Bhatt, A.G., Kallianpur, G., Karandikar, R.L.: Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering. Ann. Probab. 23, 1895–1938 (1995)
3. Bhatt, A.G., Kallianpur, G., Karandikar, R.L.: Robustness of the optimal filter. Stoch. Process. Appl. 81, 247–254 (1999)
4. Bhatt, A.G., Karandikar, R.L.: Robustness of the nonlinear filter: the correlated case. Stoch. Process. Appl. 97, 41–58 (2002)
5. Fournier, N., Xu, L.: On the equivalence between some jumping SDEs with rough coefficients and some non-local PDEs. Ann. Inst. Henri Poincare Probab. Stat. 55, 1163–1178 (2019)
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