• Corpus ID: 248834609

On partially observed jump diffusions I. The filtering equations

@inproceedings{Germ2022OnPO,
  title={On partially observed jump diffusions I. The filtering equations},
  author={Fabian Germ and Istvan Gyongy},
  year={2022}
}
. This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the equation only satisfy appropriate growth conditions. Some results in filtering theory of diffusion processes are extended to jump diffusions and equations for the time evolution of the conditional distribution and the unnormalised conditional distribution of the unobserved… 
On partially observed jump diffusions II. The filtering density
Abstract. A partially observed jump diffusion Z “ pXt, YtqtPr0,T s given by a stochastic differential equation driven by Wiener processes and Poisson martingale measures is considered when the

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