Discrete time nonlinear filters with informative observations are stable

DOI10.1214/ECP.v13-1423zbMath1189.60133arXiv0807.1072MaRDI QIDQ1038918

Ramon van Handel

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.1072

zbMATH Keywords

predictionasymptotic stabilitynonlinear filteringhidden Markov models

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) Stochastic stability in control theory (93E15)

Related Items

Robustness to Incorrect Priors and Controlled Filter Stability in Partially Observed Stochastic Control, On the stability of positive semigroups, Forgetting of the initial distribution for nonergodic hidden Markov chains, Sequential Monte Carlo smoothing for general state space hidden Markov models, Exponential forgetting of smoothing distributions for pairwise Markov models, Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models, Robustness to Incorrect Priors in Partially Observed Stochastic Control, Uniform time average consistency of Monte Carlo particle filters