On Uniqueness of Solutions for the Stochastic Differential Equations of Nonlinear Filtering

Authors
Heunis, Andrew J. Lucic, Vladimir M.
Citation
J. Heunis, Andrew et M. Lucic, Vladimir, On Uniqueness of Solutions for the Stochastic Differential Equations of Nonlinear Filtering, Annals of applied probability , 11(1), 2001, pp. 182-209
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
11
Issue
1
Year of publication
2001
Pages
182 - 209
Database
ACNP
SICI code
Abstract
We study a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The main results establish pathwise uniqueness for the unnormalized filter equation and uniqueness in law for the normalized and unnormalized filter equations.