The Feynman—Stratonovich Semigroup and Stratonovich Integral Expansions in Nonlinear Filtering

摘要

Representations for the solution of the Zakai equation in terms of multiple Stratonovich integrals are derived. A new semigroup (the Feynman—Stratonovich semigroup) associated with the Zakai equation is introduced and using the relationship between multiple Stratonovich integrals and iterated Stratonovich integrals, a representation for the unnormalized conditional density, u(t,x), solely in terms of the initial density and the semigroup, is obtained. In addition, a Fourier series-type representation for u(t,x) is given, where the coefficients in this representation uniquely solve an infinite system of partial differential equations. This representation is then used to obtain approximations for u(t,x). An explicit error bound for this approximation, which is of the same order as for the case of multiple Wiener integral representations, is obtained.