A new proof for the convergence of Picard's filter using partial Malliavin calculus
Probability
2014-05-26 v3
Abstract
The discrete-time approximation for nonlinear filtering problems is related to both of strong and weak approximations of stochastic differential equations. In this paper, we propose a new method of proof for the convergence of approximate nonlinear filter analyzed by Jean Picard (1984), and show a more general result than the original one. For the proof, we develop an analysis of Hilbert space valued functionals on Wiener space.
Keywords
Cite
@article{arxiv.1311.6090,
title = {A new proof for the convergence of Picard's filter using partial Malliavin calculus},
author = {Hideyuki Tanaka},
journal= {arXiv preprint arXiv:1311.6090},
year = {2014}
}
Comments
15 pages