A new proof for the convergence of Picard's filter using partial Malliavin calculus

arXiv1311.6090MaRDI QIDQ6246720FDOQ6246720

Publication date: 24 November 2013

Abstract: The discrete-time approximation for nonlinear filtering problems is related to both of strong and weak approximations of stochastic differential equations. In this paper, we propose a new method of proof for the convergence of approximate nonlinear filter analyzed by Jean Picard (1984), and show a more general result than the original one. For the proof, we develop an analysis of Hilbert space valued functionals on Wiener space.

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