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 20:04 |
| Last Modified: | 18 Jan 2018 17:29 |
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