Path continuity of the nonlinear filter
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.
Year of publication: |
2001
|
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Authors: | Bhatt, Abhay G. ; Karandikar, Rajeeva L. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 54.2001, 1, p. 75-78
|
Publisher: |
Elsevier |
Subject: | Nonlinear filtering Path continuity |
Saved in:
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