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Stability of the optimal filter for nonergodic signals - a variational approach

Stannat, W (Technische Universitat Darmstadt)
Tuesday 15 June 2010, 11:20-12:10

Seminar Room 1, Newton Institute


We give an overview on results on stability of the optimal filter for signal processes with state space $\mathbb{R}^d$ observed with independent additive noise, both in discrete and continuous time. Explicit lower bounds on the rate of stability in terms of the coefficients of the signal and the observation are obtained. For the time-continuous case the bounds are uniform w.r.t. appropriate time-discrete approximations. I also discuss a particular extension to signals observed with independent multiplicative noise.


[pdf ]


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