On invariant measures of discrete time filters in the correlated signal-noise case
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Publication:1872369
DOI10.1214/aoap/1031863182zbMath1012.60044OpenAlexW2061113037MaRDI QIDQ1872369
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1031863182
Discrete-time Markov processes on general state spaces (60J05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Ergodicity and stability of the conditional distributions of nondegenerate Markov chains ⋮ A Universal Dynamic Program and Refined Existence Results for Decentralized Stochastic Control ⋮ Derivation of linear estimation algorithms from measurements affected by multiplicative and additive noises ⋮ Weak Feller property of non-linear filters
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