Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering

DOI10.1006/JFAN.1999.3399MaRDI QIDQ1295923zbMATH OpenOpenAlexWikidataFDO

Authors Guiseppe Da Prato, Marco Fuhrman, Paul Malliavin

Publication date 28 May 2000

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jfan.1999.3399

zbMATH Keywords

ergodicitynonlinear filtering

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Filtering in stochastic control theory (93E11)

Recommendations

• Publication:4864336
• scientific article; zbMATH DE number 4061121
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• On continuous time ergodic filters with wrong initial data
• Markov property and ergodicity of the nonlinear filter

Cites work

• scientific article; zbMATH DE number 4211182 (Why is no real title available?)
• scientific article; zbMATH DE number 3907496 (Why is no real title available?)
• scientific article; zbMATH DE number 19402 (Why is no real title available?)
• scientific article; zbMATH DE number 503478 (Why is no real title available?)
• scientific article; zbMATH DE number 1014073 (Why is no real title available?)
• scientific article; zbMATH DE number 4120094 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 845758 (Why is no real title available?)
• scientific article; zbMATH DE number 844500 (Why is no real title available?)
• Approximations to solutions of the zakai filtering equation
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Diffusions on an infinite dimensional torus
• Décroissance exponentielle du noyau de la chaleur sur la diagonale. I. (Exponential decay of the heat kernel over the diagonal. I)
• Exponential stability for nonlinear filtering
• Limit theorems for stochastic difference-differential equations
• Malliavin calculus with time dependent coefficients and application to nonlinear filtering
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On the optimal filtering of diffusion processes
• Renormalized differential geometry on path space: Structural equation, curvature
• Stochastic calculus of variations for stochastic partial differential equations
• The Malliavin calculus and its application to second order parabolic differential equations: Part II
• The partial malliavin calculus and its application to non-linear filtering

Cited in

(9)

• Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Conditional ergodicity in infinite dimension
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• On the stability of positive semigroups
• scientific article; zbMATH DE number 845758 (Why is no real title available?)
• Stochastic calculus of variations on complex line bundle and construction of unitarizing measures for the Poincaré disk
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

This page was built for publication: Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1295923)