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Nonlinear filtering of stochastic differential equations driven by correlated Lévy noises (1907.06779v3)
Published 15 Jul 2019 in math.PR
Abstract: The work concerns nonlinear filtering problems of stochastic differential equations with correlated L\'evy noises. First, we establish the Kushner-Stratonovich and Zakai equations through martingale representation theorems and the Kallianpur-Striebel formula. Second, we show the pathwise uniqueness and uniqueness in joint law of weak solutions for the Zakai equation. Finally, we investigate the uniqueness in joint law of weak solutions to the Kushner-Stratonovich equation.
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