On the exchange of intersection and supremum of \({\sigma}\)-fields in filtering theory

DOI10.1007/s11856-012-0045-9zbMath1271.60054arXiv1009.0507MaRDI QIDQ1936815

Ramon van Handel

Publication date: 7 February 2013

Published in: Israel Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.0507

zbMATH Keywords

stochastic process; ergodic theory; invariant probability measure; stationary Markov process; transition kernel; nonlinear filtering problem; stationary hidden Markov model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

Related Items

Ergodicity, Decisions, and Partial Information, Exercises in probability, second edition, Resolution of sigma-fields for multiparticle finite-state action evolutions with infinite past, Ergodicity and stability of the conditional distributions of nondegenerate Markov chains, Exponential forgetting of smoothing distributions for pairwise Markov models

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