Model robustness of finite state nonlinear filtering over the infinite time horizon

DOI10.1214/105051606000000871zbMath1126.93055arXivmath/0604295OpenAlexW3104019777MaRDI QIDQ2455062

Pavel Chigansky, Ramon van Handel

Publication date: 22 October 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0604295

zbMATH Keywords

Markov chainserror boundsnonlinear filteringmodel robustnessfilter stabilityanticipative stochastic calculus

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Dividend maximization in a hidden Markov switching model ⋮ Maximum likelihood estimator for hidden Markov models in continuous time ⋮ Sequential Monte Carlo smoothing for general state space hidden Markov models ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ THE STABILITY OF QUANTUM MARKOV FILTERS ⋮ Stability of the optimal filter in continuous time: beyond the Beneš filter ⋮ The stability of conditional Markov processes and Markov chains in random environments

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