Lyapunov Exponents for Finite State Nonlinear Filtering

DOI10.1137/S0363012994272046MaRDI QIDQ3128447zbMATH OpenFDO

Authors Rami Atar, Ofer Zeitouni

Publication date 11 July 2000

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

Lyapunov exponentsZakai equationnonlinear filteringstochastic Feynman-Kac formulaergodic Markov processfilter initial conditionssensitivity of the solutionWonham's equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Characteristic and Lyapunov exponents of ordinary differential equations (34D08) Multiplicative functionals and Markov processes (60J57)

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• Exponential stability in discrete-time filtering for non-ergodic signal.
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• Universal prediction of random binary sequences in a noisy environment
• Transportation inequalities for hidden Markov chains and applications
• A note on the memory length of optimal nonlinear filters
• Stability of the nonlinear filter for slowly switching Markov chains
• On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
• Effects of statistical dependence on multiple testing under a hidden Markov model
• A note on exponential stability of the nonlinear filter for denumerable Markov chains
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Large deviations for random dynamical systems and applications to hidden Markov models
• Exponential bounds for convergence of entropy rate approximations in hidden Markov models satisfying a path-mergeability condition
• Ergodic properties of the nonlinear filter.
• Sequential Bayesian inference for static parameters in dynamic state space models
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• Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
• Geometric ergodicity in a weighted Sobolev space
• Estimate exponential memory decay in hidden Markov model and its applications to inference
• Planning and learning in partially observable systems via filter stability
• Stability of the filter with Poisson observations
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• An ergodic theorem for filtering with applications to stability
• Ergodicity of hidden Markov models
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain

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