Nonlinear Filtering Equation of a Jump Process with Counting Observations |
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Authors: | Claudia Ceci Anna Gerardi |
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Institution: | (1) Dip. di Scienze, Università di Chieti, Pescara, Italy;(2) Dip. Ingegneria Elettrica, Università de L', Aquila, Italy |
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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. |
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Keywords: | Markov jump processes filtering |
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