Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations

DOI10.1017/jpr.2016.90zbMath1400.60050arXiv1512.04834OpenAlexW2964174433MaRDI QIDQ4684842

Mathieu Gerber, Nick Whiteley

Publication date: 26 September 2018

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

Full work available at URL: https://arxiv.org/abs/1512.04834

zbMATH Keywords

hidden Markov modelnonlinear filteringrandom environment\(V\)-norm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

On the stability of positive semigroups ⋮ Dimension-free Wasserstein contraction of nonlinear filters ⋮ Stable Approximation Schemes for Optimal Filters

Cites Work

• Stability properties of some particle filters
• Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
• Long-term stability of sequential Monte Carlo methods under verifiable conditions
• On discrete time ergodic filters with wrong initial data
• Forgetting the initial distribution for hidden Markov models
• The stability of conditional Markov processes and Markov chains in random environments
• Perron-Frobenius theorem, large deviations, and random perturbations in random environments
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
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