Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.

MaRDI QIDQ1413098zbMATH OpenFDO

Authors Amarjit Budhiraja

Publication date 16 November 2003

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_2003__39_6_919_0, https://eudml.org/doc/77790

zbMATH Keywords

Asymptotic stabilityInvariant measuresMeasure valued processesNonlinear filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on general state spaces (60J25) Inference from stochastic processes and prediction (62M20) Stochastic stability in control theory (93E15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cited in

(24)

• The stability of conditional Markov processes and Markov chains in random environments
• Exponential stability in discrete-time filtering for non-ergodic signal.
• Ergodic properties of the nonlinear filter.
• On the exchange of intersection and supremum of \({\sigma}\)-fields in filtering theory
• Stability of non-linear filter for deterministic dynamics
• Parameter estimation and asymptotic stability in stochastic filtering
• Phase transitions in nonlinear filtering
• Ergodicity of hidden Markov models
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Markov property and ergodicity of the nonlinear filter
• scientific article; zbMATH DE number 5919860 (Why is no real title available?)
• When do nonlinear filters achieve maximal accuracy?
• Ergodicity and stability of the conditional distributions of nondegenerate Markov chains
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains
• On the stability of positive semigroups
• Coupled stochastic-statistical equations for filtering multiscale turbulent systems
• Unique ergodicity of non-linear filters via reachability and uniform weak continuity
• Nonlinear filtering of classical and quantum spin systems
• An ergodic theorem for filtering with applications to stability
• A note on exponential stability of the nonlinear filter for denumerable Markov chains

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