Asymptotic stability of beneš filters

DOI10.1080/07362999908809648zbMath0945.60032OpenAlexW2067322825WikidataQ56503231 ScholiaQ56503231MaRDI QIDQ4705838

Daniel L. Ocone

Publication date: 3 October 2000

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

Full work available at URL: https://doi.org/10.1080/07362999908809648

zbMATH Keywords

asymptotic distributionsBeněs filters

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Exponential stability in discrete-time filtering for non-ergodic signal., Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem, Ergodic properties of the nonlinear filter., Stability of the optimal filter in continuous time: beyond the Beneš filter, Stability of non-linear filter for deterministic dynamics, On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions, Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain

Cites Work

• On the non-existence of stationary diffusions which satisfy the Benes condition
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability for nonlinear filtering
• Exponential stability of discrete-time filters for bounded observation noise
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
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