Robustness in the theory of nonlinear filtration
The authors discuss the filtering problem when both the observed process \(\{X_ t\}\), \(t\geq 0\), and the signal process \(\{\odot_ t\}\), \(t\geq 0\), are discontinuous vector valued semimartingales. Under certain conditions, such as the commuting of coefficient vector fields, a robust filter is shown to exist, that is a filter which is continuous on the space of right continuous, left limited sample paths of the observation process when topologized with a certain metric. The paper is an extension to discontinuous processes of work of \textit{M. H. A. Davis}, Z. Wahrscheinlichkeitstheor. Verw. Geb. 54, 125-139 (1980; Zbl 0431.60043), and the reviewer and \textit{M. Kohlmann}, Math. Z. 178, 559-578 (1981; Zbl 0458.60029).
scientific article; zbMATH DE number 3852139