Estimation for the additive Gaussian channel and Monge-Kantorovitch measure transportation

DOI10.1016/J.SPA.2007.01.007MaRDI QIDQ2642038zbMATH OpenOpenAlexFDO

Authors A. S. Üstünel

Publication date 20 August 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2007.01.007

zbMATH Keywords

abstract Wiener spaceestimation with Gaussian noiseWasserstein distance

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07)

Review text

The estimation of a signal observed with an additive Gaussian noise is considered in the setting of an abstract Wiener space. More precisely, suppose that the observation is \(Y=X+w\) where \(w\) is a Gaussian variable with values in a separable Fréchet space \(W\), and \(X\) is independent of \(w\) and takes its values in the Cameron-Martin space \(H\) of \(W\). It is proved that the conditional expectation \(E[X| Y]\) can be written as \(\nabla F(Y)\) for some \(H\)-convex function \(F\). The quadratic estimation error is related to the Wasserstein distance between some probability measures.

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Cites work

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• Gaussian capacities
• scientific article; zbMATH DE number 2131672 (Why is no real title available?)
• scientific article; zbMATH DE number 1014073 (Why is no real title available?)
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