Large Deviation Principle for Optimal Filtering |
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| Authors: | Xiong |
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| Institution: | (1) Department of Mathematics, University of Tennessee, Knoxville, TN 37996-1300, USA jxiong@math.utk.edu and Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1, US |
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| Abstract: | Abstract. We derive a large deviation principle for the optimal filter where the signal and the observation processes take values in
conuclear spaces. The approach follows from the framework established by the author in an earlier paper. The key is the verification
of the exponential tightness for the optimal filtering process and the exponential continuity of the coefficients in the Zakai
equation. |
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| Keywords: | , Optimal filtering, Large deviation principle, Exponential tightness, Exponential continuity, AMS Classification,,,,,,Primary 60F10, Secondary 60H10, 60J60, |
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