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• W2038739117 abstract "The paper is concerned with completing “unfinished business” on a robust representation formula for the conditional expectation operator of nonlinear filtering. Such a formula, robust in the sense that its dependence on the process of observations is continuous, was stated in [2] without proof. The main purpose of this paper is to repair this deficiency. The formula is “almost obvious” as it can be derived at a formal level by a process of integration-by-parts applied to the stochastic integrals that appear in the integral representation formula. However, the rigorous justification of the formula is quite subtle, as it hinges on a measurability argument the necessity of which is easy to miss at first glance. The continuity of the representation (but not its validity) was proved by Kushner [9] for a class of diffusions." @default.
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• W2038739117 date "2005-02-10" @default.
• W2038739117 modified "2023-10-18" @default.
• W2038739117 title "On a robust version of the integral representation formula of nonlinear filtering" @default.
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• W2038739117 doi "https://doi.org/10.1007/s00440-004-0412-5" @default.
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