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On invariant measures of filtering processes. (English) Zbl 0683.93082

Stochastic differential systems, Proc. 4th Conf., Bad Honnef/FRG 1988, Lect. Notes Control Inf. Sci. 126, 279-292 (1989).
Summary: [For the entire collection see Zbl 0679.00015.]
Invariant measures of both discrete and continuous time filtering processes are studied. A generalization of the famous result of H. Kunita [J. Multivariate Anal. 1, 365-393 (1971; Zbl 0245.93027)] to the case of locally compact signal state space is obtained. Moreover some approximations of invariant measures of filtering processes ae considered. Examples which explain the assumptions imposed in the paper are also given.

MSC:

93E11 Filtering in stochastic control theory
60G35 Signal detection and filtering (aspects of stochastic processes)