Robustness of the nonlinear filter

DOI10.1016/S0304-4149(98)00106-9MaRDI QIDQ1593635zbMATH OpenOpenAlexFDO

Authors Abhay G. Bhatt, Rajeeva L. Karandikar, Gopinath Kallianpur

Publication date 17 January 2001

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

Full work available at URL https://doi.org/10.1016/s0304-4149(98)00106-9

zbMATH Keywords

nonlinear filteringrobustness

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

The nonlinear filtering model \[ Y_t= \int _0^th(X_s) ds+W_t,\quad 0\leq t\leq T, \] is considered where \(X\) is the signal process, assumed to take values in a complete separable metric space and having r.c.l.l. paths, the observation noise \(W\) is assumed to be an \(\mathbb R^k\)-valued Brownian motion, \(h\) is a measurable function and \(Y\) is the observation process. The process \(X\) is not assumed to be Markov. Under some integrability hypothesis the filter is shown to depend continuously on the law of the signal. The analysis is based on expressing the nonlinear filter as a Wiener functional via the Kallianpur-Striebel Bayes formula.

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Cited in

(23)

• Robustness of the nonlinear filter: the correlated case.
• Robust parameter estimation for stochastic differential equations
• Nonlinear filtering for diffusions in random environments
• Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
• Weak Feller property of non-linear filters
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