Uniqueness for Measure-Valued Equations of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises
Probability
2018-01-04 v2
Abstract
In the article, Zakai and Kushner-Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system are considered. 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.
Keywords
Cite
@article{arxiv.1707.07822,
title = {Uniqueness for Measure-Valued Equations of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises},
author = {Huijie Qiao},
journal= {arXiv preprint arXiv:1707.07822},
year = {2018}
}
Comments
17 pages