Derives Kushner-Stratonovich and Zakai equations for nonlinear filtering with predictable discontinuities in both signal and observations.
(2005), ‘Bond yields and the federal reserve’,Journal of Political Economy 113(2), 311–344
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Nonlinear filtering with stochastic discontinuities
Derives Kushner-Stratonovich and Zakai equations for nonlinear filtering with predictable discontinuities in both signal and observations.