Title :
Robust nonlinear filtering for a problem with unbounded signal
Author :
Ferreyra, G. ; Sussmann, Hector J.
Author_Institution :
Rutgers University, New Brunswick, NJ
Abstract :
We study the robust nonlinear filtering problem for the bilinear system dx1 = dw1, dx2 = x1dw2, with observation dy = x2dt + dv. For every continuous path y(??), the conditional density turns out to be well defined and smooth, up to a small (path-dependent) time.
Keywords :
Filtering; Robustness;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269449
