Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
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One considers an ergodic end hypoelliptic diffusion on a manifold, and one supposes that this diffusion is observed with an independent Gaussian noise. The aim of this work is to study the ergodic properties of the conditional law. One uses a robust resolution of the Zakai equation; another important tool is the Malliavin calculus which provides estimates on logarithmic derivatives of densities.
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Cited in
(11)- Stochastic calculus of variations on complex line bundle and construction of unitarizing measures for the Poincaré disk
- Ergodicity and mixing conditions of Markov processes in nonparametric filtering problems
- Asymptotic behavior of the conditional distributions of diffusion processes with rapidly oscillating contamination
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
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- scientific article; zbMATH DE number 845758 (Why is no real title available?)
- Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
- On the stability of positive semigroups
- Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
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