Asymptotic stability of the Wonham filter for ergodic and nonergodic signals

Details Asymptotic stability of the Wonham filter for ergodic and nonergodic signals Asymptotic stability of the Wonham filter for ergodic and nonergodic signals

2002-05-22

arxiv.org/abs/math/0205230v3

SIAM J. Control Optim. 43 (2004), no. 2, 643--669

Mathematics

Probability

27 pages

Scientific paper

Stability problem of the Wonham filter with respect to initial conditions is addressed. The case of ergodic signals is revisited in view of a gap in the classic work of H. Kunita (1971). We give new bounds for the exponential stability rates, which do not depend on the observations. In the non-ergodic case, the stability is implied by identifiability conditions, formulated explicitly in terms of the transition intensities matrix and the observation structure.

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