On exponential stability of Wonham filter

MaRDI QIDQ6471816zbMATH OpenFDO

Authors Pavel Chigansky, R. Liptser

Publication date 22 April 2002

Mathematics Subject Classification ID

Multiplicative functionals and Markov processes (60J57) Filtering in stochastic control theory (93E11)

Abstract: We give elementary proof of a stability result concerning an exponential asymptotic ($toinfty$) for filtering estimates generated by wrongly initialized Wonham filter. This proof is based on new exponential bound having independent interest.

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