An ergodic theorem for filtering with applications to stability

DOI10.1016/J.SYSCONLE.2006.06.001zbMATH Open1157.94324arXivmath/0404515OpenAlexW2021668157MaRDI QIDQ875141FDOQ875141

Authors: Pavel Chigansky 

Publication date: 11 April 2007

Published in: Systems \& Control Letters (Search for Journal in Brave)

Abstract: Ergodic properties of the signal-filtering pair are studied for continuous time finite Markov chains, observed in white noise. The obtained law of large numbers is applied to the stability problem of the nonlinear filter with respect to initial conditions. The Furstenberg-Khasminskii formula is derived for the top Lyapunov exponent of the Zakai equation and is used to estimate the stability index of the filter.

Full work available at URL: https://arxiv.org/abs/math/0404515

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zbMATH Keywords

stabilityLyapunov exponentsnonlinear filteringergodic theorem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited In (14)

• A note on Furstenberg's filtering problem
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• Ergodicity of filtering process by vanishing discount approach
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Ergodicity and stability of the conditional distributions of nondegenerate Markov chains
• Through the looking glass: indirect inference via simple equilibria
• The stability of conditional Markov processes and Markov chains in random environments
• Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
• Conditional ergodicity in infinite dimension
• Stability of the filter with Poisson observations
• On the stability of measure valued processes with applications to filtering
• On discrete time ergodic filters with wrong initial data, 2
• Ergodicity of filtering processes: the history of a mistake and attempts to correct it
• Stability of the filter equation for a time-dependent signal on \(\mathbb R^{d}\)

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