Nonlinear filtering equation of a jump process with counting observations

Authors
Ceci, C Gerardi, A
Citation
C. Ceci et A. Gerardi, Nonlinear filtering equation of a jump process with counting observations, ACT APPL MA, 66(2), 2001, pp. 139-154
Citations number
19
Categorie Soggetti
Mathematics
Journal title
ACTA APPLICANDAE MATHEMATICAE
ISSN journal
01678019 → ACNP
Volume
66
Issue
2
Year of publication
2001
Pages
139 - 154
Database
ISI
SICI code
0167-8019(200104)66:2<139:NFEOAJ>2.0.ZU;2-C
Abstract
We study the filtering problem of an R-d-valued pure jump process when the observations is a counting process. We assume that the dynamic of the state and the observations may be strongly dependent and that the two processes may jump together. Weak and pathwise uniqueness of solution of the Kushner- Stratonovich equation are discussed.