Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.

zbMath1160.60318MaRDI QIDQ1413098

Amarjit Budhiraja

Publication date: 16 November 2003

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2003__39_6_919_0

zbMATH Keywords

Asymptotic stabilityNonlinear filteringInvariant measuresMeasure valued processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stochastic stability in control theory (93E15)

Related Items (12)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ A note on exponential stability of the nonlinear filter for denumerable Markov chains ⋮ A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ On the exchange of intersection and supremum of \({\sigma}\)-fields in filtering theory ⋮ On the stability of positive semigroups ⋮ Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ Ergodicity and stability of the conditional distributions of nondegenerate Markov chains ⋮ Parameter estimation and asymptotic stability in stochastic filtering ⋮ Stability of non-linear filter for deterministic dynamics ⋮ The stability of conditional Markov processes and Markov chains in random environments ⋮ Ergodicity of hidden Markov models

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