Path continuity of the nonlinear filter

DOI10.1016/S0167-7152(01)00068-2MaRDI QIDQ5950017zbMATH OpenOpenAlexFDO

Authors Abhay G. Bhatt, Rajeeva L. Karandikar

Publication date 30 June 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00068-2

zbMATH Keywords

nonlinear filteringpath continuity

Mathematics Subject Classification ID

Sample path properties (60G17) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Inference from stochastic processes and prediction (62M20)

Review text

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.

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Cites work

• scientific article; zbMATH DE number 4061124 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3572967 (Why is no real title available?)
• Robustness of the nonlinear filter
• Semimartingales: A course on stochastic processes

Cited in

(6)

• Robustness of the nonlinear filter
• Robustness of the nonlinear filter: the correlated case.
• Pathwise nonlinear filtering with correlated noise
• scientific article; zbMATH DE number 4005257 (Why is no real title available?)
• Une propriete de continuite en filtrage non lineaire
• Continuity of the filter with unbounded observation coefficients

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