Abstract
This article discusses the nonlinear filtering problem in the case where the noise processes are not Brownian motions (white noises) but are Gaussian processes (colored noises). A likelihood ratio type formula is obtained. Then the formula is applied to proving the stability of the filters.
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References
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H. Kunita, The stability and approximation problems in nonlinear filtering theory. Stochastic Analysis, Liber Amicorumfor Moshe Zakai, ed. by E. Mayer-Wolf et al., Academic press, 1991, 311–330.
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© 1993 Springer-Verlag New York, Inc.
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Kunita, H. (1993). Representation and stability of nonlinear filters associated with Gaussian noises. In: Cambanis, S., Ghosh, J.K., Karandikar, R.L., Sen, P.K. (eds) Stochastic Processes. Springer, New York, NY. https://doi.org/10.1007/978-1-4615-7909-0_23
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DOI: https://doi.org/10.1007/978-1-4615-7909-0_23
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4615-7911-3
Online ISBN: 978-1-4615-7909-0
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