Work

On partially observed jump diffusions I: the filtering equations

Year: 2025

Type: article

Abstract: This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the equation only satisfy appropriate growth conditions. Some results in filtering theory of diffusion processes are extended to jump diffusions and equations for the time evolution of the conditional distribution and the unnormalised conditional distribution of the unobserved process at time t, given the observations until t, are presented.

Source: Stochastic Partial Differential Equations Analysis and Computations

DOI: 10.1007/s40072-025-00353-4

Authors: Fabian Germ, István Gyöngy

Institutions: Maxwell Institute for Mathematical Sciences, Delft University of Technology, University of Edinburgh

Language: English

Topic: Target Tracking and Data Fusion in Sensor Networks

Subfield: Artificial Intelligence

Field: Computer Science

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,190

OpenAlex ID: W4409117103

FWCI:

Cites: 22

Cited by:

Related to: 10