The Kalman-Bucy Filter for Integrable L\'{e}vy Processes With Infinite Second Moment
Probability
2014-04-09 v5
Abstract
We extend the Kalman-Bucy filter to the case where both the system and observation processes are driven by finite dimensional L\'{e}vy processes, but whereas the process driving the system dynamics is square-integrable, that driving the observations is not; however it remains integrable. The key technique used is approximation by processes having bounded jumps.
Keywords
Cite
@article{arxiv.1306.5103,
title = {The Kalman-Bucy Filter for Integrable L\'{e}vy Processes With Infinite Second Moment},
author = {David Applebaum and Stefan Blackwood},
journal= {arXiv preprint arXiv:1306.5103},
year = {2014}
}