On partially observed jump diffusions II. The filtering density

Abstract

A partially observed jump diffusion $Z=(X_t,Y_t{)}_{t\in [0,T]}$ given by a stochastic differential equation driven by Wiener processes and Poisson martingale measures is considered when the coefficients of the equation satisfy appropriate Lipschitz and growth conditions. Under general conditions it is shown that the conditional density of the unobserved component $X_t$ given the observations $(Y_s{)}_{s\in [0,T]}$ exists and belongs to $L_p$ if the conditional density of $X_0$ given $Y_0$ exists and belongs to $L_p$.

In version 2 of this article the main theorem has been generalised