Markov property and ergodicity of the nonlinear filter

SIAM Journal on Control and Optimization

Volumn 39, Issue 3, 2000, Pages 928-949

  Bhatt, A G ^a   Budhiraja, A ^a   Karandikar, R L ^a  

^a INDIAN STATISTICAL INSTITUTE   (India)

Author keywords

Asymptotic stability; Invariant measures; Measure valued processes; Nonlinear filtering

Indexed keywords

ASYMPTOTIC STABILITY; DIFFERENTIATION (CALCULUS); INVARIANCE; MARKOV PROCESSES; NONLINEAR EQUATIONS; OBSERVABILITY; OPTIMIZATION; STATE SPACE METHODS; THEOREM PROVING;

FELLER-MARKOV PROCESSES; KUNITA-STETTNER SETUP; MARKOV ERGODICITY; MARKOV PROPERTY; STOCHASTIC DIFFERENTIAL EQUATIONS;

NONLINEAR FILTERING;

EID: 0034437888     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012999357707     Document Type: Article

References (12)

1. Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
2. Robustness of the nonlinear filter
3. Path continuity of the nonlinear filter
4. Approximation and limit results for nonlinear filters over an infinite time interval
5. Approximation and limit results for nonlinear filters over an infinite time interval: Part II, random sampling algorithms
6. Stochastic filtering theory
7. White noise theory of prediction, filtering and smoothing
8. On pathwise stochastic integration
9. Asymptotic behavior of the nonlinear filtering errors of Markov processes
10. Ergodic properties of nonlinear filtering processes
11. Asymptotic stability of the optimal filter with respect to its initial condition
12. On invariant measures of filtering processes