Rough path stability of SPDEs arising in non-linear filtering

Details Rough path stability of SPDEs arising in non-linear filtering Rough path stability of SPDEs arising in non-linear filtering

2010-05-11

arxiv.org/abs/1005.1781v2

Mathematics

Probability

Scientific paper

We consider linear and semi-linear stochastic partial differential equations
and establish stability in rough path sense. The main example we have in mind
is the Zakai equation from the theory of non-linear filtering; in this case our
results can be viewed as "robustification", applicable even when the noise in
the observation process depends of the signal.

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