相关论文: An ergodic theorem for filtering with applications…
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 the article, Zakai and Kushner-Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system are considered. Moreover, we prove that under some general assumption, the Zakai equation has pathwise…
For a class of partially observed diffusions, conditions are given for the map from the initial condition of the signal to filtering distribution to be contractive with respect to Wasserstein distances, with rate which does not necessarily…
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain…
Feynman-Kac semigroups appear in various areas of mathematics: non-linear filtering, large deviations theory, spectral analysis of Schrodinger operators among others. Their long time behavior provides important information, for example in…
This paper revisits the classical question of the stability of the nonlinear Wonham filter. The novel contributions of this paper are two-fold: (i) definition of the stabilizability for the (control-theoretic) dual to the nonlinear filter;…
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…
The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $k\to\infty$ regardless of the observation structure when the signal possesses sufficiently strong…
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…
Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation…
We develop a general theory for linear stability of traveling waves of second order in time PDE's. More precisely, we introduce an explicitly computable index $\om^*\in (0, \infty]$ (depending on the self-adjoint part of the linearized…
We study a stability property of probability laws with respect to small violations of algorithmic randomness. A sufficient condition of stability is presented in terms of Schnorr tests of algorithmic randomness. Most probability laws, like…
We develop a theory of ergodicity for a class of random dynamical systems where the driving noise is not white. The two main tools of our analysis are the strong Feller property and topological irreducibility, introduced in this work for a…
This paper considers the problem of finite-time stability for stochastic nonlinear systems. A new Lyapunov theorem of stochastic finite-time stability is proposed, and an important corollary is obtained. Some comparisons with the existing…
The analysis of the stability of systems' equilibria plays a central role in the study of dynamical systems and control theory. This note establishes an extension of the celebrated Krasovski\u{\i} stability theorem for functional…
The problem of stability of the optimal filter is revisited. The optimal filter (or filtering process) is the conditional probability of the current state of some stochastic process (the signal process), given both present and past values…
The Fluctuation Relation for a stationary state, kept at constant energy by a deterministic thermostat - the Gallavotti-Cohen Theorem -- relies on the ergodic properties of the system considered. We show that when perturbed by an…
A method for obtaining simple criteria for instabilities in kinetic theory is described and outlined, specifically for the relativistic Vlasov-Maxwell system. An important ingredient of the method is an analysis of a parametrized set of…
A nonlinear theory of pattern selection in parametric surface waves (Faraday waves) is presented that is not restricted to small viscous dissipation. By using a multiple scale asymptotic expansion near threshold, a standing wave amplitude…
This short note gives a positive answer to an old question in elementary probability theory that arose in Furstenberg's seminal article "Disjointness in Ergodic Theory." As a consequence, Furstenberg's filtering theorem holds without any…