Uniqueness of the solution of the filtering equations in spaces of measures

Dan Crisan; Etienne Pardoux

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arXiv · 2411.11125

Uniqueness of the solution of the filtering equations in spaces of measures

Dan Crisan·Etienne Pardoux

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Abstract

Nonlinear filtering is a pivotal problem that has attracted significant attention from mathematicians, statisticians, engineers, and various other scientific disciplines. The solution to this problem is governed by the so-called filtering equations. In this paper, we investigate the uniqueness of solutions to these equations within measure spaces and introduce a novel, generalized framework for this analysis. Our approach provides new insights and extends the applicability of existing theories in the study of nonlinear filtering.

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Dan Crisan, Etienne Pardoux. 2024-11-17. Uniqueness of the solution of the filtering equations in spaces of measures. https://arxiv.org/abs/2411.11125

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