An ergodic theorem for filtering with applications to stability

Simple item page
dc.creatorChigansky, P.
dc.date2004-04-28
dc.date2006-07-20
dc.date.accessioned2026-07-07T06:36:44Z
dc.date.available2026-07-07T06:36:44Z
dc.descriptionErgodic 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.
dc.descriptionThe final version to appear in Syst. Contr. Letters after a substantial revision
dc.identifierhttps://arxiv.org/abs/math/0404515
dc.identifierhttp://arxiv.org/abs/math/0404515
dc.identifierSystems & Control Letters, Volume 55, Issue 11, November 2006, Pages 908-917
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/100182
dc.subjectProbability
dc.subjectDynamical Systems
dc.subject93E11, 60J57
dc.titleAn ergodic theorem for filtering with applications to stability
dc.typetext

Files

Collections

arXiv