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math.PR2022
On partially observed jump diffusions III. Regularity of the filtering density
Fabian Germ, István Gyöngy
The filtering equations associated to a partially observed jump diffusion model , driven by Wiener processes and Poisson martingale measu…
math.PR2022★ 1 cited
On partially observed jump diffusions I. The filtering equations
Fabian Germ, István Gyöngy
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…