Lyapunov Exponents for Finite State Nonlinear Filtering

DOI10.1137/S0363012994272046zbMath0940.93073MaRDI QIDQ3128447

Rami Atar, Ofer Zeitouni

Publication date: 11 July 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

Lyapunov exponentsnonlinear filteringZakai equationstochastic Feynman-Kac formulaergodic Markov processfilter initial conditionssensitivity of the solutionWonham's equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Characteristic and Lyapunov exponents of ordinary differential equations (34D08) Multiplicative functionals and Markov processes (60J57)

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