Une propriete de continuite en filtrage non lineaire
- 1 October 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 19 (1-2) , 11-40
- https://doi.org/10.1080/17442508608833416
Abstract
Let be the solution of Zakai equation of nonlinear filtering theory, and let be the solution of the same equation with the observation process (y t) replaced by a deterministic H 1 function (ut). We prove that, under suitable hypothese, the filter is continuous in a sense introduced by H. J. Sussmann, i.e. for each fixed n. Explicit estimates of the modulus of convergence are givenKeywords
This publication has 2 references indexed in Scilit:
- Robustesse de la solution des problemes de filtrage avec bruit blanc independant †Stochastics, 1984
- Robust filtering for correlated multidimensional observationsMathematische Zeitschrift, 1981