Relative entropy and error bounds for filtering of Markov processes

DOI10.1007/PL00009856zbMath0940.93072OpenAlexW2027573726MaRDI QIDQ1961041

J. M. C. Clark, C. Coumarbatch, Daniel L. Ocone

Publication date: 30 March 2000

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00009856

zbMATH Keywords

sensitivityrelative entropynonlinear filteringfilter stabilityfiltering error boundsincorrect initializationincorrectly initialized filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Nonlinear systems in control theory (93C10) Stochastic stability in control theory (93E15)

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