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A Note on Exponential Stability of the NonLinera Filter for Denumerable Markov Chains

Title:

A Note on Exponential Stability of the NonLinera Filter for Denumerable Markov Chains

Hu, Ze-Chun and Sun, Wei (2006) A Note on Exponential Stability of the NonLinera Filter for Denumerable Markov Chains. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Abstract

We study asymptotic stability of the optimal filter with respect to its initial conditions. We show that exponential stability of the nonlinear filter holds for a large class of denumerable Markov chains, including all finite Markov chains, under the assumption that the observation function is one-to-one and the observation noise is sufficiently small. Ergodicity of the signal process is not assumed.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Monograph (Technical Report)
Authors:Hu, Ze-Chun and Sun, Wei
Series Name:Department of Mathematics & Statistics. Technical Report No. 3/06
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:February 2006
Keywords:Nonlinear filtering; exponential stability; denumerable Markov chain
ID Code:6674
Deposited By:DIANE MICHAUD
Deposited On:03 Jun 2010 16:04
Last Modified:08 Dec 2010 18:22
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