A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise

Mandrekar, Vidyadhar; Meyer-Brandis, Thilo und Proske, Frank (2011): A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. In: Journal of Probability and Statistics, Vol. 2011: pp. 1-15

Abstract

A Bayes-type formula is derived for the nonlinear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well-known Kallianpur-Striebel formula in the classical non-linear filter setting. We also discuss Zakai-type equations for both the unnormalized conditional distribution as well as unnormalized conditional density in case the signal is a Markovian jump diffusion.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 1687-952X
• Language: English