On a robust version of the integral representation formula of nonlinear filtering (Q2570833): Difference between revisions

The paper is concerned with completing ``unfinished business'' on a robust representation formula for the conditional expectation operator of nonlinear filtering. Such a formula, robust in the sense that its dependence on the process of observations is continuous, was stated by Kushner without proof. The main purpose of this paper is to repair this deficiency. The formula is ``almost obvious'' as it can be derived at a formal level by a process of integration-by-parts applied to the stochastic integrals that appear in the integral representation formula. Howewer, the rigorous justification of the formula is quite subtle, as it hinges on a measurability argument, the necessity of which is easy to miss at first glance. The continuity of the representation (but not its validity) was proved by Kushner for a class of diffusions.