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

被引：24

作者：

Bhatt, AG ^{[1
]}

Kallianpur, G ^{[1
]}

Karandikar, RL ^{[1
]}

机构：

[1] UNIV N CAROLINA, DEPT STAT, CTR STOCHAST PROC, CHAPEL HILL, NC 27599 USA

来源：

ANNALS OF PROBABILITY | 1995年 / 23卷 / 04期

关键词：

nonlinear filtering; Zakai equation; martingale problem; robustness;

D O I：

10.1214/aop/1176987808

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the Zakai equation for the unnormalized conditional distribution sigma 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 A(0). Uniqueness of solution for the measure-valued Zakai and Fujisaki-Kallianpur-Kunita equations is proved when the test functions belong to the domain of A(0). It is also shown that the conditional distributions are robust.

引用

页码：1895 / 1938

页数：44

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