Path continuity of the nonlinear filter (Q5950017)
From MaRDI portal
scientific article; zbMATH DE number 1679423
Language | Label | Description | Also known as |
---|---|---|---|
English | Path continuity of the nonlinear filter |
scientific article; zbMATH DE number 1679423 |
Statements
Path continuity of the nonlinear filter (English)
0 references
30 June 2002
0 references
The nonlinear filtering model with independent signal and observation noise is considered. It is shown, that in the case, when the input function belongs to \(L_2 ([0,T])\) and is continuous in probability, the paths of the optimal filter are continuous a.s. The analysis is based on expressing the nonlinear filter as a Wiener functional via the Kallianpur-Striebel Bayes formula.
0 references
nonlinear filtering
0 references
path continuity
0 references