Stability of the optimal filter in continuous time: beyond the Beneš filter

DOI10.1080/07362994.2020.1727345zbMath1470.93155arXiv1604.03345OpenAlexW3008577622MaRDI QIDQ4986443

Van Bien Bui, Sylvain Rubenthaler

Publication date: 27 April 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03345

zbMATH Keywords

filteringsignal detectioninference from stochastic processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Uses Software

• Mathematica

Cites Work

• Unnamed Item
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• On discrete time ergodic filters with wrong initial data
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• Aspects of Brownian motion
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability for nonlinear filtering
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Asymptotic stability of beneš filters
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• On the stability of interacting processes with applications to filtering and genetic algorithms

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