See The Lévy State Space Model [Simon Godsill](https://arxiv.org/search/math?searchtype=author&query=Godsill%2C+S), [Marina Riabiz](https://arxiv.org/search/math?searchtype=author&query=Riabiz%2C+M), [Ioannis Kontoyiannis](https://arxiv.org/search/math?searchtype=author&query=Kontoyiannis%2C+I) https://arxiv.org/abs/1912.12524
See
The Lévy State Space Model Simon Godsill, Marina Riabiz, Ioannis Kontoyiannis https://arxiv.org/abs/1912.12524