Robustness of the nonlinear filter

Abhay G. Bhatt, G. Kallianpur and Rajeeva L. Karandikar

Stochastic Processes and their Applications, 1999, vol. 81, issue 2, 247-254

Abstract: 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.

Keywords: Nonlinear; filtering; Robustness (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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