Robustness of the nonlinear filter

  • Bha, Abhay G.
  • Kallianpur, G.
  • Karandikar, Rajeeva L.
Publication date
June 1999
Publisher
Elsevier BV

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

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