화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.47, No.2, 151-165, 2003
Large deviation principle for optimal filtering
We derive a large deviation principle for the optimal filter where the signal and the observation processes take values in conuclear spaces. The approach follows from the framework established by the author in an earlier paper. The key is the verification of the exponential tightness for the optimal filtering process and the exponential continuity of the coefficients in the Zakai equation.