Model robustness of finite state nonlinear filtering over the infinite time horizon
type: Item
instance of: scholarly article
title: Model robustness of finite state nonlinear filtering over the infinite time horizon
zbMATH Open document ID: 1126.93055
DOI: 10.1214/105051606000000871
author: Pavel Chigansky
author: Ramon van Handel
published in: The Annals of Applied Probability
publication date: 2007-10-22T00:00:00Z
full work available at URL: https://arxiv.org/abs/math/0604295
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93E15
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60J27
zbMATH DE Number: 5202770
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: filter stability
zbMATH Keywords: model robustness
zbMATH Keywords: error bounds
zbMATH Keywords: Markov chains
zbMATH Keywords: anticipative stochastic calculus
MaRDI profile type: Publication
OpenAlex ID: W3104019777
arXiv ID: math/0604295
cites work: Lyapunov Exponents for Finite State Nonlinear Filtering
cites work: Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
cites work: Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
cites work: Robustness of the nonlinear filter
cites work: Approximate nonlinear filtering by projection on exponential manifolds of densities
cites work: Robustness of Nonlinear Filters Over the Infinite Time Interval
cites work: Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval
cites work: Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
cites work: Q4323296
cites work: The Wonham Filter With Random Parameters: Rate of Convergence and Error Bounds
cites work: Q3217380
cites work: A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
cites work: Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
cites work: Q4522393
cites work: The Malliavin Calculus and Related Topics
cites work: Stochastic calculus with anticipating integrands
cites work: A generalized clark representation formula, with application to optimal portfolios
cites work: A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
cites work: Parameter estimation and asymptotic stability in stochastic filtering
cites work: Q4435813
cites work: Q4508926
cites work: Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
Recommended article: Robustness of Nonlinear Filters Over the Infinite Time Interval
Recommended article: Robust filtering of stochastic uncertain systems on an infinite time horizon
Recommended article: Robust H/sub /spl infin// filtering for nonlinear stochastic systems
Recommended article: Robust \(H_\infty\) filtering for nonlinear discrete-time stochastic systems
Recommended article: Robust \(H_\infty \) finite-horizon filtering with randomly occurred nonlinearities and quantization effects
Recommended article: Robust/\(H_{\infty}\) filtering for nonlinear systems
Recommended article: Robust nonlinear \(\mathcal H_ \infty\) filtering
Recommended article: Robust \(H_{\infty }\) filtering for general nonlinear stochastic state-delayed systems
Recommended article: Finite-timeH∞filtering for non-linear stochastic systems
description: scientific article