Path continuity of the nonlinear filter (Q5950017)
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scientific article; zbMATH DE number 1679423
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Path continuity of the nonlinear filter |
scientific article; zbMATH DE number 1679423 |
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Path continuity of the nonlinear filter (English)
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30 June 2002
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The nonlinear filtering model with independent signal and observation noise is considered. It is shown, that in the case, when the input function belongs to \(L_2 ([0,T])\) and is continuous in probability, the paths of the optimal filter are continuous a.s. The analysis is based on expressing the nonlinear filter as a Wiener functional via the Kallianpur-Striebel Bayes formula.
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nonlinear filtering
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path continuity
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