Hypoellipticity and ergodicity of the Wonham filter as a diffusion process

DOI10.1007/s00245-010-9129-2zbMath1232.93088OpenAlexW2002944115MaRDI QIDQ647497

Yûsuke Watanabe, Takashi Tamura

Publication date: 23 November 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-010-9129-2

zbMATH Keywords

ergodicityhypoellipticityWonham filterHörmander's condition

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Observability (93B07) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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