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 stabilityNonlinear filteringInvariant measuresMeasure valued processes

Mathematics Subject Classification ID

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

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• Exponential stability in discrete-time filtering for non-ergodic signal.
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• Phase transitions in nonlinear filtering
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Ergodicity and stability of the conditional distributions of nondegenerate Markov chains
• A note on exponential stability of the nonlinear filter for denumerable Markov chains
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• On the stability of positive semigroups
• A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains
• Parameter estimation and asymptotic stability in stochastic filtering
• The stability of conditional Markov processes and Markov chains in random environments
• When do nonlinear filters achieve maximal accuracy?
• 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
• 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
• An ergodic theorem for filtering with applications to stability
• Ergodicity of hidden Markov models

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