On exponential stability of Wonham filter
Probability
2007-05-23 v1 Optimization and Control
Abstract
We give elementary proof of a stability result concerning an exponential asymptotic () for filtering estimates generated by wrongly initialized Wonham filter. This proof is based on new exponential bound having independent interest.
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Cite
@article{arxiv.math/0204263,
title = {On exponential stability of Wonham filter},
author = {P. Chigansky and R. Liptser},
journal= {arXiv preprint arXiv:math/0204263},
year = {2007}
}
Comments
6 pages