Representation and stability of nonlinear filters associated with Gaussian noises

Hiroshi Kunita
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Hiroshi Kunita: Kyushu University, Department of Applied Science

A chapter in Stochastic Processes, 1993, pp 201-210 from Springer

Abstract: Abstract This article discusses the nonlinear filtering problem in the case where the noise processes are not Brownian motions (white noises) but are Gaussian processes (colored noises). A likelihood ratio type formula is obtained. Then the formula is applied to proving the stability of the filters.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-7909-0_23

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DOI: 10.1007/978-1-4615-7909-0_23

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