Nonlinear filtering of stochastic differential equations with correlated Lévy noises-Reference-Cited by-同舟云学术

Nonlinear filtering of stochastic differential equations with correlated Lévy noises

Published:2021-01-11 Issue:8 Volume:93 Page:1156-1185
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Qiao Huijie¹²

Affiliation:

1. School of Mathematics, Southeast University, Nanjing, Jiangsu, People's Republic of China

2. Department of Mathematics, University of Illinois at Urbana-Champaign, Urbana, IL, USA

Funder

NSF of China

China Scholarship Council

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2020.1868471

Reference17 articles.

1. Risk minimizing hedging for a partially observed high frequency data model

2. Nonlinear Filtering for Jump Diffusion Observations

3. The Zakai Equation of Nonlinear Filtering for Jump-Diffusion Observations: Existence and Uniqueness

4. B. Grigelionis and R. Mikulevicius, Nonlinear filtering equations for stochastic processes with jumps, in The Oxford Handbook of Nonlinear Filtering, D. Crisan and B.L. Rozovskii, eds., Oxford University Press, 2011, pp. 95–128.

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1. Uniqueness and superposition of the space-distribution-dependent Zakai equations;Infinite Dimensional Analysis, Quantum Probability and Related Topics;2023-11-15

2. On partially observed jump diffusions II: the filtering density;Stochastics and Partial Differential Equations: Analysis and Computations;2023-10-03

3. Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises;Stochastics and Dynamics;2023-01-11

4. Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces;Bulletin des Sciences Mathématiques;2022-02