Ergodicity of hidden Markov models

DOI10.1007/S00498-005-0153-8MaRDI QIDQ2574183zbMATH OpenOpenAlexFDO

Authors Giovanni Di Masi, Łukasz Stettner

Publication date 18 November 2005

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00498-005-0153-8

zbMATH Keywords

Asymptotic stabilityInvariant measuresNonlinear filtering process

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic systems in control theory (general) (93E03) Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15)

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Cites work

• A limit theorem for partially observed Markov chains
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.
• Asymptotics of the maximum likelihood estimator for general hidden Markov models
• Decay of correlations
• Ergodic control of partially observed Markov chains
• Ergodic properties of the nonlinear filter.
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Hidden Markov processes
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• Lyapunov Exponents for Finite State Nonlinear Filtering
• Markov chains and stochastic stability
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Risk-sensitive dynamic asset management

Cited in

(16)

• The stability of conditional Markov processes and Markov chains in random environments
• A simple formula for the Hilbert metric with respect to a sub-Gaussian cone
• Forgetting of the initial distribution for nonergodic hidden Markov chains
• Exponential filter stability via Dobrushin's coefficient
• Effects of statistical dependence on multiple testing under a hidden Markov model
• Ergodicity of filtering process by vanishing discount approach
• On convergence in distribution of the Markov chain generated by the filter kernel induced by a fully dominated hidden Markov model
• Long run control with degenerate observation
• Ergodicity and stability of the conditional distributions of nondegenerate Markov chains
• Stability of the filter with Poisson observations
• Application of dependence with complete connections to hidden Markov models
• On the Markov property of a finite hidden Markov chain
• A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains
• Another look at partially observed optimal stochastic control: existence, ergodicity, and approximations without belief-reduction
• Unique ergodicity of non-linear filters via reachability and uniform weak continuity
• A simple proof of Kaijser's unique ergodicity result for hidden Markov \(\alpha\)-chains

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