Robustness of the nonlinear filter

Authors
Bhatt, AG Kallianpur, G Karandikar, RL
Citation
Ag. Bhatt et al., Robustness of the nonlinear filter, STOCH PR AP, 81(2), 1999, pp. 247-254
Citations number
11
Categorie Soggetti
Mathematics
Journal title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN journal
03044149 → ACNP
Volume
81
Issue
2
Year of publication
1999
Pages
247 - 254
Database
ISI
SICI code
0304-4149(19990601)81:2<247:ROTNF>2.0.ZU;2-N
Abstract
In the nonlinear filtering model with signal and observation noise independ ent, we show that the filter depends continuously on the law of the signal. We do not assume that the signal process is Markov and prove the result un der minimal integrability conditions. The analysis is based on expressing t he nonlinear filter as a Wiener functional via the Kallianpur-Striebel Baye s formula. (C) 1999 Elsevier Science B.V. All rights reserved.