Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval

DOI10.1137/S0363012997328178MaRDI QIDQ4699155zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner, Amarjit Budhiraja

Publication date 23 November 1999

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

Full work available at URL https://doi.org/10.1137/s0363012997328178

zbMATH Keywords

occupation measuresnonlinear filtersinfinite time filteringapproximations to nonlinear filterspathwise average error criteria

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Nonlinear systems in control theory (93C10)

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• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• An infinite expansion for nonlinear filtering
• Observation sampling and quantisation for continuous-time estimators.
• Stability of the nonlinear filter for slowly switching Markov chains
• Long Time Behavior for Some Dynamical Noise Free Nonlinear Filtering Problems
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• The stability of conditional Markov processes and Markov chains in random environments
• Ergodic properties of the nonlinear filter.
• On tightness of probability measures on Skorokhod spaces
• Stability of the filter with Poisson observations
• A simple asymptotically optimal filter over an infinite horizon
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• An ergodic theorem for filtering with applications to stability
• On diffusion approximations for filtering
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain

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