The objective of this paper is to study the filtering problem for a system of partially observable processes (X, Y), where X is a non-Markovian pure jump process representing the signal and Y is a general jump diffusion which provides observations. Our model covers the case where both processes are not necessarily quasi left-continuous, allowing them to jump at predictable stopping times. By introducing the Markovian version of the signal, we are able to compute an explicit equation for the filter via the innovations approach.

Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics / Bandini, E.; Calvia, A.; Colaneri, K.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 151:(2022), pp. 396-435. [10.1016/j.spa.2022.06.007]

Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics

Calvia A.;
2022

Abstract

The objective of this paper is to study the filtering problem for a system of partially observable processes (X, Y), where X is a non-Markovian pure jump process representing the signal and Y is a general jump diffusion which provides observations. Our model covers the case where both processes are not necessarily quasi left-continuous, allowing them to jump at predictable stopping times. By introducing the Markovian version of the signal, we are able to compute an explicit equation for the filter via the innovations approach.
Stochastic filtering, Pure jump process, Jump–diffusion process, Non quasi-left-continuous random measure, Path-dependent local characteristics
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics / Bandini, E.; Calvia, A.; Colaneri, K.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 151:(2022), pp. 396-435. [10.1016/j.spa.2022.06.007]
File in questo prodotto:
File Dimensione Formato  
BCC - Stoch filt of a PJP.pdf

Solo gestori archivio

Descrizione: Articolo
Tipologia: Versione dell'editore
Licenza: Tutti i diritti riservati
Dimensione 1.76 MB
Formato Adobe PDF
1.76 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/220278
Citazioni
  • Scopus 0
  • ???jsp.display-item.citation.isi??? ND
social impact