On a robust version of the integral representation formula of nonlinear filtering

被引：0
|
作者：
J.M.C. Clark
D. Crisan
机构：
[1] Imperial College London,Department of Electrical and Electronic Engineering
[2] Imperial College London,Department of Mathematics
来源：
Probability Theory and Related Fields | 2005年 / 133卷
关键词：
Stochastic Process; Probability Theory; Integral Representation; Mathematical Biology; Conditional Expectation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The paper is concerned with completing “unfinished business” on a robust representation formula for the conditional expectation operator of nonlinear filtering. Such a formula, robust in the sense that its dependence on the process of observations is continuous, was stated in [2] without proof. The main purpose of this paper is to repair this deficiency.
引用
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页码：43 / 56
页数：13
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