Pathwise nonlinear filtering on abstract Wiener spaces (Q688077)

This paper is concerned with the nonlinear filtering theory on abstract Wiener spaces. The system takes the form \(y=h+\omega\) where \(h\) runs in a separable Hilbert space \(H\) and \(\omega\) runs through some Banach space \(E\). \(H\) is densely embedded in \(E\) and therefore, they form an abstract Wiener space. Considering shift transformations on \(E\), the author establishes an analog of the Girsanov formula. Then, a Kallianpur- Striebel formula for signal correlated with noise is obtained. This allows to express the filter with an explicit functional of the observed trajectory. Under a finite energy condition, the author proves also a pathwise version of the Zakai equation.