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We consider a bivariate stationary Markov chain $(X_n,Y_n)_{n\ge0}$ in a Polish state space, where only the process $(Y_n)_{n\ge0}$ is presumed to be observable. The goal of this paper is to investigate the ergodic theory and stability…
It has been established under very general conditions that the ergodic properties of Markov processes are inherited by their conditional distributions given partial information. While the existing theory provides a rather complete picture…
We analyse the exponential stability properties of a class of measure-valued equations arising in nonlinear multi-target filtering problems. We also prove the uniform convergence properties w.r.t. the time parameter of a rather general…
We study the exponential stability in the $H^{2}$ norm of the nonlinear Saint-Venant (or shallow water) equations with arbitrary friction and slope using a single Proportional-Integral (PI) control at one end of the channel. Using a good…
A nonlinear stochastic differential equation with the order of nonlinearity higher than one, with several discrete and distributed delays and time varying coefficients is considered. It is shown that the sufficient conditions for…
This paper is concerned with stability analysis and synthesis for discrete-time linear systems with stochastic dynamics. Equivalence is first proved for three stability notions under some key assumptions on the randomness behind the…
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…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
We establish conditions for an exponential rate of forgetting of the initial distribution of nonlinear filters in $V$-norm, path-wise along almost all observation sequences. In contrast to previous works, our results allow for unbounded…
We investigate the robustness of nonlinear filtering for continuous time finite state Markov chains, observed in white noise, with respect to misspecification of the model parameters. It is shown that the distance between the optimal filter…
Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic,…
In this paper we study the ergodicity and the related semigroup property for a class of symmetric Markov jump processes associated with time changed symmetric $\alpha$-stable processes. For this purpose, explicit and sharp criteria for…
In this work, we present a scalable Linear Matrix Inequality (LMI) based framework to verify the stability of a set of linear Partial Differential Equations (PDEs) in one spatial dimension coupled with a set of Ordinary Differential…
In an earlier work made by the first author with J. Turi (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008), the solution of a stochastic variational inequality modeling an…
A new result on stability of an optimal nonlinear filter with respect to small perturbations on every step is established.
In this paper, we study the problem of estimating a Markov chain $X$(signal) from its noisy partial information $Y$, when the transition probability kernel depends on some unknown parameters. Our goal is to compute the conditional…
In finite-dimensional dynamical systems, stochastic stability provides the selection of physical relevant measures from the myriad invariant measures of conservative systems. That this might also apply to infinite-dimensional systems is the…
This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with non-linear state dynamics and linear measurements under…
This paper explores the exponential stability of two nonlinear wave equations coupled through their velocities. The analysis is divided into two main cases. First, we consider a system where one equation is damped, while the other…
This paper is concerned with the development and use of duality theory for a nonlinear filtering model with white noise observations. The main contribution of this paper is to introduce a stochastic optimal control problem as a dual to the…