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Path continuity of the nonlinear filter

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  • Bhatt, Abhay G.
  • Karandikar, Rajeeva L.

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.

Suggested Citation

  • Bhatt, Abhay G. & Karandikar, Rajeeva L., 2001. "Path continuity of the nonlinear filter," Statistics & Probability Letters, Elsevier, vol. 54(1), pages 75-78, August.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:1:p:75-78
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    Keywords

    Nonlinear filtering Path continuity;

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