The stability of conditional Markov processes and Markov chains in random environments

DOI10.1214/08-AOP448zbMath1178.93142arXiv0801.4366MaRDI QIDQ1035864

Ramon van Handel

Publication date: 4 November 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.4366

zbMATH Keywords

asymptotic stabilitynonlinear filteringhidden Markov modelsweak ergodicitytail \(\sigma \)-fieldexchange of intersection and supremumMarkov chain in random environment

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15)

Related Items

Observability and nonlinear filtering, 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, Ergodicity, Decisions, and Partial Information, 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, Ruin probabilities for Bayesian exchangeable claims processes, Hybrid stochastic epidemic SIR models with hidden states, On the stability of positive semigroups, Consistency of the maximum likelihood estimator for general hidden Markov models, Ergodicity and stability of the conditional distributions of nondegenerate Markov chains, Sequential Monte Carlo smoothing for general state space hidden Markov models, Dimension-free Wasserstein contraction of nonlinear filters, Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations, On convergence in distribution of the Markov chain generated by the filter kernel induced by a fully dominated Hidden Markov Model, Exponential forgetting of smoothing distributions for pairwise Markov models, On concentration properties of partially observed chaotic systems, Long-term stability of sequential Monte Carlo methods under verifiable conditions, Uniform time average consistency of Monte Carlo particle filters, Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation, Stochastic Gradient MCMC for State Space Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum likelihood estimator for hidden Markov models in continuous time
• Observability and nonlinear filtering
• On direct convergence and periodicity for transition probabilities of Markov chains in random environments
• Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach
• Markov chains with stochastically stationary transition probabilities
• Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.
• On pathwise stochastic integration
• Relative entropy and error bounds for filtering of Markov processes
• Inference in hidden Markov models.
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• Ergodicity of filtering process by vanishing discount approach
• Ergodicity of hidden Markov models
• Markov Property and Ergodicity of the Nonlinear Filter
• The ergodic theory of Markov chains in random environments
• Asymptotic a priori estimates for the error in the nonlinear filtering problem (Corresp.)
• A martingale approach to the convergence of the iterates of a transition function
• A uniform convergence theorem for the numerical solving of the nonlinear filtering problem
• Foundations of Modern Probability
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Nearly Optimal Controls for Stochastic Ergodic Problems with Partial Observation
• Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval
• An Operator Theorem on $L_1$ Convergence to Zero with Applications to Markov Kernels
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• On a class of special flows
• Asymptotics of the maximum likelihood estimator for general hidden Markov models