Robustesse de la solution des problemes de filtrage avec bruit blanc independant †
- 1 September 1984
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 13 (3) , 229-245
- https://doi.org/10.1080/17442508408833320
Abstract
We suppose that the observation of a signal process is corrupted by an independent white noise. In a case which is more general than the classical case of semimartingales, we construct the optimal estimate of the signal as a continuous function on the space of observation trajectories. We show that moreover, it is continuous in a certain sense with respect to the a priori law of the signalKeywords
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