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math.PR2026
Robust Filtering of Lévy-driven Stochastic Models
Sharan Srinivasan, Vijay Gupta, Harsha Honnappa
We study robust nonlinear filtering for stochastic models driven by Lévy processes, where the signal and observation processes are coupled through common Brownian and jump noise.…
math.PR2026
The Variational Approach in Filtering and Correlated Noise
Sharan Srinivasan, Vijay Gupta, Harsha Honnappa
The variational formulation of nonlinear filtering due to Mitter and Newton characterizes the filtering distribution as the unique minimizer of a free energy functional involving t…