On exponential stability of Wonham filter

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We give elementary proof of a stability result concerning an exponential asymptotic ($t\to\infty$) for filtering estimates generated by wrongly initialized Wonham filter. This proof is based on new exponential bound having independent interest.
6 pages

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Probability, Optimization and Control, 93E11; 60J57

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http://salesiana.dossiersoluciones.com/handle/123456789/63876

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0204263
 http://arxiv.org/abs/math/0204263

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arXiv