Markov Property and Ergodicity of the Nonlinear Filter

DOI10.1137/S0363012999357707zbMath0970.60047OpenAlexW2071027876MaRDI QIDQ2719135

Abhay G. Bhatt, Rajeeva L. Karandikar, Amarjit Budhiraja

Publication date: 21 June 2001

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012999357707

zbMATH Keywords

asymptotic stabilityinvariant measuresnonlinear filteringmeasure valued processes

Mathematics Subject Classification ID

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)

Related Items (6)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Ergodic properties of the nonlinear filter. ⋮ Weak Feller property of non-linear filters ⋮ Interactive statistical mechanics and nonlinear filtering ⋮ The stability of conditional Markov processes and Markov chains in random environments

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