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The Kalman-Bucy Filter for Integrable Lévy Processes With Infinite Second Moment (1306.5103v5)
Published 21 Jun 2013 in math.PR
Abstract: We extend the Kalman-Bucy filter to the case where both the system and observation processes are driven by finite dimensional L\'{e}vy processes, but whereas the process driving the system dynamics is square-integrable, that driving the observations is not; however it remains integrable. The key technique used is approximation by processes having bounded jumps.
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