Bhatt, Abhay G. ; Karandikar, Rajeeva L. (2001) Path continuity of the nonlinear filter Statistics & Probability Letters, 54 (1). pp. 75-78. ISSN 0167-7152
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Official URL: http://www.sciencedirect.com/science/article/pii/S...
Related URL: http://dx.doi.org/10.1016/S0167-7152(01)00068-2
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.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Nonlinear Filtering; Path Continuity |
| ID Code: | 73312 |
| Deposited On: | 02 Dec 2011 08:38 |
| Last Modified: | 02 Dec 2011 08:38 |
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