科研之友
微信
新浪微博
Facebook
分享链接
摘要
Nonlinear filtering is investigated in a system where both the signal system and the observation system are under non-Gaussian Levy fluctuations. Firstly, the Zakai equation is derived, and it is further used to derive the Kushner-Stratonovich equation. Secondly, by a filtered martingale problem, uniqueness for strong solutions of the Kushner Stratonovich equation and the Zakai equation is proved. Thirdly, under some extra regularity conditions, the Zakai equation for the unnormalized density is also derived in the case of a-stable Levy noise.
- 出版日期2015-9
- 单位东南大学
