The filtering equations revisited

Abstract: The problem of nonlinear filtering has engendered a surprising number of mathematical techniques for its treatment. A notable example is the change-of--probability-measure method originally introduced by Kallianpur and Striebel to derive the filtering equations and the Bayes-like formula that bears their names. More recent work, however, has generally preferred other methods. In this paper, we reconsider the change-of-measure approach to the derivation of the filtering equations and show that many of the technical conditions present in previous work can be relaxed. The filtering equations are established for general Markov signal processes that can be described by a martingale-problem formulation. Two specific applications are treated.