Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition

DOI10.1137/S0363012993256617zbMATH Open1035.93508MaRDI QIDQ4874949FDOQ4874949

Authors: Etienne Pardoux, Daniel L. Ocone 

Publication date: 11 June 1996

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

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Mathematics Subject Classification ID

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

Cited In (55)

• Stability of linear set-membership filters with respect to initial conditions: an observation-information perspective
• Convergence of filters with applications to the Kalman-Bucy case
• Exponential stability in discrete-time filtering for non-ergodic signal.
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• Stability of nonlinear filters in nonmixing case
• Exponential asymptotic stability of time-varying inverse prediction error filters
• On discrete time ergodic filters with wrong initial data
• THE STABILITY OF QUANTUM MARKOV FILTERS
• Forgetting the initial distribution for hidden Markov models
• Microstructure models with short-term inertia and stochastic volatility
• Controlled interacting particle algorithms for simulation-based reinforcement learning
• Practical stability of approximating discrete-time filters with respect to model mismatch
• Exponential filter stability via Dobrushin's coefficient
• Asymptotic stability of the optimal filter for random chaotic maps
• A note on the memory length of optimal nonlinear filters
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
• On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Ergodicity and stability of the conditional distributions of nondegenerate Markov chains
• A note on exponential stability of the nonlinear filter for denumerable Markov chains
• On the stability of positive semigroups
• Title not available (Why is that?)
• Parameter estimation and asymptotic stability in stochastic filtering
• Comparing frequency domain, optimal, and asymptotic filtering: a tutorial
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• Optimal structurally partitioned filter for undisturbable stochastic systems Part II. Stability and its asymptotic behaviour
• On a role of predictor in the filtering stability
• On the stability of Kalman-Bucy diffusion processes
• On the anticipative nonlinear filtering problem and its stability
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• Observability and nonlinear filtering
• Stability with respect to initial conditions in \(V\)-norm for nonlinear filters with ergodic observations
• Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.
• The mean-field ensemble Kalman filter: near-Gaussian setting
• On the stability of the Kalman–Bucy filter with stationary time varying parameters
• Ergodic properties of the nonlinear filter.
• A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
• A filter with a guaranteed asymptotic performance
• Stability of non-linear filter for deterministic dynamics
• Asymptotic stability of optimal filters
• Asymptotic properties of linear filter for deterministic processes
• Analysis of error propagation in particle filters with approximation
• Forgetting of the initial distribution for nonergodic hidden Markov chains
• On asymptotic stability of quantum trajectories and their Cesaro mean
• Asymptotic Optimality of Approximate Filters in Stochastic Systems with Colored Noises
• Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
• Ergodicity of hidden Markov models
• Uniform observability of hidden Markov models and filter stability for unstable signals
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability of discrete-time filters for bounded observation noise
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

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