Stability of the nonlinear filter for slowly switching Markov chains

Details Stability of the nonlinear filter for slowly switching Markov chains Stability of the nonlinear filter for slowly switching Markov chains

2004-11-26

arxiv.org/abs/math/0411596v3

Stochastic Process. Appl., 116 (2006) 8, pp 1185--1194

Mathematics

Probability

the final version

Scientific paper

Exponential stability of the nonlinear filtering equation is revisited, when
the signal is a finite state Markov chain. An asymptotic upper bound for the
filtering error due to incorrect initial condition is derived in the case of
slowly switching signal.

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