Stability of nonlinear filters in nonmixing case (Q1769423): Difference between revisions

This paper considers the stability problem of the nonlinear filtering equation with respect to its initial condition. The nonlinear filtering equation is said to be stable if it ``forgets'' the initial condition. It is known that the filter might be unstable even if the signal is an ergodic Markov chain. In general, the filtering stability requires stronger signal ergodicity provided by the mixing condition. The latter is formulated in this paper in terms of the transition probability density of the signal. The most restrictive requirement of the mixing condition is the uniform positiveness of the density. It is shown that it might be relaxed regardless of an observation process structure.