Robust filtering: correlated noise and multidimensional observation

DOI10.1214/12-AAP896MaRDI QIDQ373852zbMATH OpenFDO

Authors Joscha Diehl, Dan Crisan, Peter Friz, Harald Oberhauser

Publication date 25 October 2013

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.1858, https://projecteuclid.org/euclid.aoap/1377696308

zbMATH Keywords

robustnesscorrelated noiserough path theorysignal detectionstochastic filtering problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

Abstract: In the late seventies, Clark [In Communication Systems and Random Process Theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977) (1978) 721-734, Sijthoff & Noordhoff] pointed out that it would be natural for $p{i}_t$, the solution of the stochastic filtering problem, to depend continuously on the observed data $Y=Y_s,sin[0,t]$. Indeed, if the signal and the observation noise are independent one can show that, for any suitably chosen test function $f$, there exists a continuous map $het{a}_t^f$, defined on the space of continuous paths $C([0,t],mathbb{R}^d)$ endowed with the uniform convergence topology such that $p{i}_t(f)=het{a}_t^f(Y)$, almost surely; see, for example, Clark [In Communication Systems and Random Process Theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977) (1978) 721-734, Sijthoff & Noordhoff], Clark and Crisan [Probab. Theory Related Fields 133 (2005) 43-56], Davis [Z. Wahrsch. Verw. Gebiete 54 (1980) 125-139], Davis [Teor. Veroyatn. Primen. 27 (1982) 160-167], Kushner [Stochastics 3 (1979) 75-83]. As shown by Davis and Spathopoulos [SIAM J. Control Optim. 25 (1987) 260-278], Davis [In Stochastic Systems: The Mathematics of Filtering and Identification and Applications, Proc. NATO Adv. Study Inst. Les Arcs, Savoie, France 1980 505-528], [In The Oxford Handbook of Nonlinear Filtering (2011) 403-424 Oxford Univ. Press], this type of robust representation is also possible when the signal and the observation noise are correlated, provided the observation process is scalar. For a general correlated noise and multidimensional observations such a representation does not exist. By using the theory of rough paths we provide a solution to this deficiency: the observation process $Y$ is "lifted" to the process $mathbfY$ that consists of $Y$ and its corresponding L'{e}vy area process, and we show that there exists a continuous map $het{a}_t^f$, defined on a suitably chosen space of H"{o}lder continuous paths such that $p{i}_t(f)=het{a}_t^f(mathbfY)$, almost surely.

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