Smoothness properties of the conditional expectation in finitely additive white noise filtering

DOI10.1016/0047-259X(88)90129-7MaRDI QIDQ1110191zbMATH OpenOpenAlexFDO

Authors Hans-Peter Hucke, Gopinath Kallianpur, Rajeeva L. Karandikar

Publication date 1988

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(88)90129-7

zbMATH Keywords

canonical cylinder Gaussian measurefinitely dimensional orthoprojectornonlinear filtering model

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

The nonlinear filtering model \((y=\xi +e)\) is considered, just as it was thoroughly studied by \textit{G. Kallianpur} and \textit{R. L. Karandikar} [Ann. Probab. 13, 1033-1107 (1985; Zbl 0584.60055)]. In this model the observation (y), the signal (\(\xi)\) and the noise (e) are all vectors in some Hilbert space H and the distribution of the noise is given by the canonical cylinder Gaussian measure on H. The main result is that the nonlinear filter E(g\(| Q y)\) is an infinitely many times Fréchet differentiable function on Q y (Q is a finitely dimensional orthoprojector in H and g is a nonlinear functional of \(\xi)\). This result has its analogue in the usual (i.e. countably additive) filtering model, in which the filter is proved to be \(C^{\infty}\) in Malliavin's sense. The authors' results, however, are very transparent and clear and the proofs are simple and elegant.

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Cites work

• White noise calculus and nonlinear filtering theory

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(6)

• Some recent results in finitely additive white noise theory
• scientific article; zbMATH DE number 3850185 (Why is no real title available?)
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• On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space
• Remarks on the finite energy condition in additive white noise filtering

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