Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering

Bhatt, Abhay G. ; Kallianpur, G. ; Karandikar, Rajeeva L. (1995) Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering Annals of Probability, 23 (4). pp. 1895-1938. ISSN 0091-1798

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Abstract

We consider the Zakai equation for the unnormalized conditional distribution σ when the signal process X takes values in a complete separable metric space E and when h is a continuous, possibly unbounded function on E. It is assumed that X is a Markov process which is characterized via a martingale problem for an operator A0. Uniqueness of solution for the measure-valued Zakai and Fujisaki-Kallianpur-Kunita equations is proved when the test functions belong to the domain of A0. It is also shown that the conditional distributions are robust.

Item Type:Article
Source:Copyright of this article belongs to Institute of Mathematical Statistics.
Keywords:Nonlinear Filtering; Zakai Equation; Martingale Problem; Robustness
ID Code:73326
Deposited On:02 Dec 2011 10:31
Last Modified:02 Dec 2011 10:31

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