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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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|
|Keywords:||Nonlinear filtering; exponential stability; denumerable Markov chain|
|Deposited By:||DIANE MICHAUD|
|Deposited On:||03 Jun 2010 16:04|
|Last Modified:||08 Dec 2010 18:22|
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