Uniqueness and stability of nonlinear filtering equations with unbounded random coefficients

Abstract

We study a multidimensional nonlinear filtering model whose coefficients depend on a given observation-adapted predictable process and whose observation drift may grow linearly in both the state and the random input. Due to the unboundedness of the observation drift, a global reference measure is not available. To overcome this hurdle, a localized entropy argument is adapted to prove the stopped likelihood to be a uniformly integrable martingale at each control-energy stopping level. The stopped Zakai equation, and hence, the stopped filtering equation is derived. The global filtering equation is then established by de-localization. The uniqueness of the solution to the stopped Zakai equation is obtained by a duality backward stochastic partial differential equation. This uniqueness then propagates to that of the global filtering equation through the stopped ones. Finally, a stability result is established in $W_1$-distance of measures.