Asymptotic stability of the Wonham filter for ergodic and nonergodic signals

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dc.creatorBaxendale, P.
dc.creatorChigansky, P.
dc.creatorLiptser, R.
dc.date2002-05-22
dc.date2005-07-24
dc.date.accessioned2026-07-07T04:48:38Z
dc.date.available2026-07-07T04:48:38Z
dc.descriptionStability problem of the Wonham filter with respect to initial conditions is addressed. The case of ergodic signals is revisited in view of a gap in the classic work of H. Kunita (1971). We give new bounds for the exponential stability rates, which do not depend on the observations. In the non-ergodic case, the stability is implied by identifiability conditions, formulated explicitly in terms of the transition intensities matrix and the observation structure.
dc.description27 pages
dc.identifierhttps://arxiv.org/abs/math/0205230
dc.identifierhttp://arxiv.org/abs/math/0205230
dc.identifierSIAM J. Control Optim. 43 (2004), no. 2, 643--669
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/64124
dc.subjectProbability
dc.subjectOptimization and Control
dc.subject93E11; 60J57
dc.titleAsymptotic stability of the Wonham filter for ergodic and nonergodic signals
dc.typetext

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