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B0548
Title: Stability of the optimal filter in continuous time: Beyond the Benes filter Authors:  Sylvain Rubenthaler - Universite Nice Sophia Antipolis (France) [presenting]
Van Bien Bui - Universite Nice Sophia Antipolis (France)
Abstract: A case is exhibited in which the optimal filter is stable with respect to its initial condition. The computations are such that this result will allow us to prove the stability of an associated particle filter. The set of assumptions we propose is a neighborhood of the Bene filter. Observations in continuous time could be understood as ``arbitrarily frequent observations''. The proof is based on a decomposition which takes us back to optimal filters with observations which are not continuous in time.