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Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise

Published online by Cambridge University Press:  26 July 2018

Huijie Qiao
Affiliation:
Southeast University
Corresponding
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Abstract

In the paper we study the Zakai and Kushner–Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system. 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.

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Original Article
Copyright
Copyright © Applied Probability Trust 2018 

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References

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