Factorization of a multiplicative functional of nonlinear filtering theory

✍ Scribed by M.H.A. Davis

• Publisher: Elsevier Science
• Year: 1981
• Tongue: English
• Weight: 338 KB
• Volume: 1
• Category: Article
• ISSN: 0167-6911
• DOI: 10.1016/s0167-6911(81)80012-6

✦ Synopsis

This paper concerns the operator esAe-s where A is the extended generator of a Hunt process g E Ox(A). An expansion of this operator in terms of A and the Levy system of the process is given and it is shown how to obtain this by factoring certain multiplicative functionak.

It is shown that the expansion is equivalent to a Baker-Campbell-Hausdorff formula and this implies in particular that if Q(A) is an algebra and the process has continuous sample paths then A must be a secondorder operator. Kqvwordr: Nonlinear filtering, Robust filtering, Diffusion processes, Stochastic differential equations.

' eon(x) = /so(z,x)n(dz,x).