Parameter-dependent filtering of Gaussian processes in Hilbert spaces

Abstrakt

The filtering problem for non-Markovian Gaussian processes on rigged Hilbert spaces is considered. Continuous dependence of the filter and observation error on parameters which may be present both in the signal and observation processes is proved.

The general results are applied to signals governed by stochastic heat equations driven by distributed or pointwise fractional noise. The observation process may be a noisy observation of the signal at given points in the domain, the position of which may depend on the parameter.

Klíčová slova

• Kalman-Bucy filter
• stochastic evolution equations
• Gaussian processes