Exponential stability in discrete-time filtering for non-ergodic signal.

DOI10.1016/S0304-4149(99)00032-0zbMATH Open1056.93065OpenAlexW2095168080WikidataQ127177216 ScholiaQ127177216MaRDI QIDQ1613615FDOQ1613615

Authors: Amarjit Budhiraja, Daniel L. Ocone 

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00032-0

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zbMATH Keywords

asymptotic stabilitynonlinear filteringdiscrete filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
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• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability for nonlinear filtering
• Exponential stability of discrete-time filters for bounded observation noise
• Lyapunov Exponents for Finite State Nonlinear Filtering
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• Robustness of Nonlinear Filters Over the Infinite Time Interval
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• Asymptotic stability of beneš filters
• Relative entropy and error bounds for filtering of Markov processes
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Cited In (27)

• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• Stability of nonlinear filters in nonmixing case
• Exponential asymptotic stability of time-varying inverse prediction error filters
• On discrete time ergodic filters with wrong initial data
• Forgetting the initial distribution for hidden Markov models
• Practical stability of approximating discrete-time filters with respect to model mismatch
• Exponential filter stability via Dobrushin's coefficient
• Wavelet-Galerkin method for the Kolmogorov equation
• A note on exponential stability of the nonlinear filter for denumerable Markov chains
• Parameter estimation and asymptotic stability in stochastic filtering
• Robustness to Incorrect Priors in Partially Observed Stochastic Control
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Ergodic properties of the nonlinear filter.
• Stability of the discrete time filter in terms of the tails of noise distributions
• New classes of finite-dimensional nonlinear filters
• Integration of the linear filtering problem by means of canonical transformations
• New exact nonlinear filters with large Lie algebras
• Stability of non-linear filter for deterministic dynamics
• Stability of the filter with Poisson observations
• Nonlinear filtering problems with finite-dimensional matrix estimation algebras
• Optimal filter realization for a class of nonlinear systems with finite- dimensional estimation algebra
• Forgetting of the initial distribution for nonergodic hidden Markov chains
• An ergodic theorem for filtering with applications to stability
• On Stability of a Class of Filters for Nonlinear Stochastic Systems
• Uniform observability of hidden Markov models and filter stability for unstable signals
• On nonergodicity for nonparametric autoregressive models
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

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