Lyapunov Exponents for Finite State Nonlinear Filtering
DOI10.1137/S0363012994272046zbMATH Open0940.93073MaRDI QIDQ3128447FDOQ3128447
Authors: Rami Atar, Ofer Zeitouni 
Publication date: 11 July 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Recommendations
Lyapunov exponentsZakai equationnonlinear filteringstochastic Feynman-Kac formulaergodic Markov processfilter initial conditionssensitivity of the solutionWonham's equation
Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Characteristic and Lyapunov exponents of ordinary differential equations (34D08) Multiplicative functionals and Markov processes (60J57)
Cited In (25)
- 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
- Title not available (Why is that?)
- Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
- Estimate exponential memory decay in hidden Markov model and its applications to inference
- Planning and learning in partially observable systems via filter stability
- Geometric ergodicity in a weighted Sobolev space
- 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
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
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