Large deviation principle for optimal filtering (Q1401569)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviation principle for optimal filtering |
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Large deviation principle for optimal filtering (English)
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18 August 2003
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The author presents a large deviation principle for the optimal filter where the signal and the observation processes take values in conuclear spaces. The key is the verification of the exponential tightness for the optimal filtering process and the exponential continuity of the coefficients in the Zakai equation.
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optimal filtering
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large deviation principle
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exponential tightness
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exponential continuity
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