seminar: Stability of the pathwise filter equation
speaker: Wilhelm Stannat (Fakultaet fuer Matematik, Universitaet Bielefeld, Germany)abstract: The pathwise filter-equation is a measure-valued evolution equation describing the conditional distribution of a signal process observed with additive noise. In our talk we will compare two different approaches to study the stability of the solution of this equation w.r.t. to the initial conditions: the first approach is based on log-concavity, the second one is based on coupling. Our analysis also allows a characterization of the shape of the conditional distribution.
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