Path continuity of the nonlinear filter

Abhay G. Bhatt and Rajeeva L. Karandikar

Statistics & Probability Letters, 2001, vol. 54, issue 1, 75-78

Abstract: We consider the nonlinear filtering model with signal and observation noise independent, and show that in case the signal is continuous in probability, the filter admits a version whose paths are continuous. The analysis is based on expressing the nonlinear filter as a Wiener functional via the Kallianpur-Striebel Bayes formula.

Keywords: Nonlinear; filtering; Path; continuity (search for similar items in EconPapers)
Date: 2001
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