Stability of the nonlinear filter for slowly switching Markov chains

DOI10.1016/j.spa.2006.02.007zbMath1108.93069arXivmath/0411596OpenAlexW2053603045MaRDI QIDQ2507647

Pavel Chigansky

Publication date: 5 October 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0411596

zbMATH Keywords

stabilityLyapunov exponentsnonlinear filteringHidden Markov modelsKullback-Leibler relative entropy

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Stability of the filter with Poisson observations ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models

Cites Work

• Asymptotic filtering for finite state Markov chains
• Exponential stability for nonlinear filtering
• Stability of nonlinear filters in nonmixing case
• Stability of regime-switching stochastic differential equations
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Lyapunov Exponents for Finite State Nonlinear Filtering
• Markov Chains
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval
• On the stability of interacting processes with applications to filtering and genetic algorithms
• Unnamed Item

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