Uniqueness for Measure-Valued Equations of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises

Huijie Qiao

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arXiv · 1707.07822

Uniqueness for Measure-Valued Equations of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises

Huijie Qiao

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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.

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BibTeX RIS

Huijie Qiao. 2017-07-25. Uniqueness for Measure-Valued Equations of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises. https://arxiv.org/abs/1707.07822

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