Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
From MaRDI portal
Publication:647497
DOI10.1007/s00245-010-9129-2zbMath1232.93088MaRDI QIDQ647497
Yûsuke Watanabe, Takashi Tamura
Publication date: 23 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9129-2
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
93B07: Observability
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
Related Items
Hybrid stochastic epidemic SIR models with hidden states, Study of a degenerate elliptic equation in an optimal consumption problem under partial information
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Recurrence and invariant measures for degenerate diffusions
- An ergodic theorem for filtering with applications to stability
- New algorithms in real time solution of the nonlinear filtering problem
- Manifolds, tensor analysis, and applications.
- Risk-sensitive dynamic asset management
- Hypoelliptic second order differential equations
- Lie-Algebraic Stability Criteria for Switched Systems
- Lyapunov Exponents for Finite State Nonlinear Filtering
- Markov Chains and Stochastic Stability
- Exponential decay and ergodicity of general Markov processes and their discrete skeletons
- A classification of the second order degenerate elliptic operators and its probabilistic characterization
- Supplements and corrections to the paper: A classification of the second order degenerate elliptic operators and its probabilistic characterization
- On uniqueness of invariant measures for finite- and infinite-dimensional diffusions
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
- On unique ergodicity for degenerate diffusions
- Controllability of quantum mechanical systems by root space decomposition of su(N)
- Ergodic Properties of Markov Processes