Stability of the filter equation for a time-dependent signal on R^d

DOI10.1007/S00245-005-0820-7MaRDI QIDQ814937zbMATH OpenOpenAlexFDO

Authors Wilhelm Stannat

Publication date 8 February 2006

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-005-0820-7

zbMATH Keywords

stabilitylog-concavityoptimal filtertime dependent nonlinear signal

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic stability in control theory (93E15)

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Cited in

(12)

• Stability of the optimal filter via pointwise gradient estimates
• On discrete time ergodic filters with wrong initial data
• On ergodic filters with wrong initial data
• Asymptotic behavior of the forecast-assimilation process with unstable dynamics
• Stability of the optimal filter for nonergodic signals -- a variational approach
• Stability of the optimal filter in continuous time: beyond the Beneš filter
• Time Dependent Phase Space Filters
• A note on exponential stability of the nonlinear filter for denumerable Markov chains
• McKean--Vlasov SDEs in Nonlinear Filtering
• Robustness to incorrect priors and controlled filter stability in partially observed stochastic control
• Stability of the discrete time filter in terms of the tails of noise distributions
• Uniform observability of hidden Markov models and filter stability for unstable signals

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