Observability and nonlinear filtering

DOI10.1007/S00440-008-0161-YzbMath1169.93025arXiv0708.3412OpenAlexW3103583705MaRDI QIDQ839412

Ramon van Handel

Publication date: 2 September 2009

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.3412

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Controllability (93B05) Asymptotic stability in control theory (93D20) Observability (93B07) Stochastic stability in control theory (93E15)

Related Items (11)

Uniform observability of hidden Markov models and filter stability for unstable signals ⋮ Robustness to Incorrect Priors and Controlled Filter Stability in Partially Observed Stochastic Control ⋮ A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Unnamed Item ⋮ Quantitative measure of observability for linear stochastic systems ⋮ Multiple hidden Markov models for categorical time series ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models ⋮ Stability of non-linear filter for deterministic dynamics ⋮ The stability of conditional Markov processes and Markov chains in random environments ⋮ An explicit Floquet-type representation of Riccati aperiodic exponential semigroups

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