{
  "id": "1306.5103",
  "version": "v5",
  "published": "2013-06-21T11:29:52.000Z",
  "updated": "2014-04-08T11:15:46.000Z",
  "title": "The Kalman-Bucy Filter for Integrable Lévy Processes With Infinite Second Moment",
  "authors": [
    "David Applebaum",
    "Stefan Blackwood"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We extend the Kalman-Bucy filter to the case where both the system and observation processes are driven by finite dimensional L\\'{e}vy processes, but whereas the process driving the system dynamics is square-integrable, that driving the observations is not; however it remains integrable. The key technique used is approximation by processes having bounded jumps.",
  "revisions": [
    {
      "version": "v5",
      "updated": "2014-04-08T11:15:46.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "infinite second moment",
      "integrable lévy processes",
      "kalman-bucy filter",
      "observation processes",
      "finite dimensional"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1306.5103A"
    }
  }
}