Applebaum, D. and Blackwood, S. (2015) The Kalman-Bucy Filter for Integrable Levy Processes with Infinite Second Moment. Journal of Applied Probability, 52 (3). pp. 636-648. ISSN 0021-9002
Abstract
We extend the Kalman-Bucy filter to the case where both the system and observation processes are driven by finite dimensional L´evy processes, but whereas the process driving the system dynamics is square-integrable, that driving the observations is not; however it remains integrable. The main result is that the components of the observation nose that have infinite variance make no contribution to the filtering equations. The key technique used is approximation by processes having bounded jumps.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2015 Applied Probability Trust. This is an author produced version of a paper subsequently published in Journal of Applied Probability. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Levy process; Riccati equation; Kalman-Bucy filter |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 19 Sep 2016 13:04 |
Last Modified: | 21 Mar 2018 18:13 |
Published Version: | http://dx.doi.org/10.1017/S0021900200113348 |
Status: | Published |
Publisher: | Applied Probability Trust |
Refereed: | Yes |
Identification Number: | 10.1017/S0021900200113348 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:92081 |