Asymptotic stability of the Wonham filter for ergodic and nonergodic signals
Probability
2007-05-23 v3 Optimization and Control
Abstract
Stability 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.
Keywords
Cite
@article{arxiv.math/0205230,
title = {Asymptotic stability of the Wonham filter for ergodic and nonergodic signals},
author = {P. Baxendale and P. Chigansky and R. Liptser},
journal= {arXiv preprint arXiv:math/0205230},
year = {2007}
}
Comments
27 pages