Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval

DOI10.1137/S0363012997328178zbMath0934.93064OpenAlexW1986256631MaRDI QIDQ4699155

Harold J. Kushner, Amarjit Budhiraja

Publication date: 23 November 1999

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

Full work available at URL: https://doi.org/10.1137/s0363012997328178

zbMATH Keywords

nonlinear filtersoccupation measuresinfinite time filteringapproximations to nonlinear filterspathwise average error criteria

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (11)

Observation sampling and quantisation for continuous-time estimators. ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ An ergodic theorem for filtering with applications to stability ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Model robustness of finite state nonlinear filtering over the infinite time horizon ⋮ Stability of the filter with Poisson observations ⋮ Ergodic properties of the nonlinear filter. ⋮ On tightness of probability measures on Skorokhod spaces ⋮ Stability of the nonlinear filter for slowly switching Markov chains ⋮ The stability of conditional Markov processes and Markov chains in random environments ⋮ Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain

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