Robustness of the nonlinear filter

In the nonlinear filtering model with signal and observation noise independent, we show that the filter depends continuously on the law of the signal. We do not assume that the signal process is Markov and prove the result under minimal integrability conditions. The analysis is based on expressing the nonlinear filter as a Wiener functional via the Kallianpur-Striebel Bayes formula.

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Year of publication:	1999
Authors:	Bhatt, Abhay G. ; Kallianpur, G. ; Karandikar, Rajeeva L.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 81.1999, 2, p. 247-254
Publisher:	Elsevier
Subject:	Nonlinear filtering Robustness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873628