Ergodic Properties of Nonlinear Filtering Processes

  • Hiroshi Kunita
Part of the Progress in Probability book series (PRPR, volume 19)


Let x t be a temporally homogenous Markov process with state space S, called a system process in this paper. Suppose that we want to observe the sample path x t , but what we can observe is a stochastic process Y t of the form
$$ Y_t = \int_0^t {h\left( {x_s } \right)dt + N_t ,} $$
where h is a continous function on S and N t is a standard Brownian motion independent of x s . The filtering of the system based on the observation data Y t is defined by a conditional distribution
$$ \pi _t \left( A \right) = P\left( {x_t \in \left. A \right|\mathcal{G}_t } \right), $$
where A is a Borel subset of S and
$$ \mathcal{G}_t = \mathop \cap \limits_{\varepsilon > 0} \sigma \left( {Y_s ;s \leqslant t + \varepsilon } \right). $$


Covariance Radon Dition Tempo Nite 


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Copyright information

© Springer Science+Business Media New York 1991

Authors and Affiliations

  • Hiroshi Kunita
    • 1
  1. 1.Department of Applied ScienceKyushu University 36FukuokaJapan

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