On exponential stability of Wonham filter

Details On exponential stability of Wonham filter On exponential stability of Wonham filter

2002-04-22

arxiv.org/abs/math/0204263v1

Mathematics

Probability

6 pages

Scientific paper

We give elementary proof of a stability result concerning an exponential
asymptotic ($t\to\infty$) for filtering estimates generated by wrongly
initialized Wonham filter. This proof is based on new exponential bound having
independent interest.

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