An ergodic theorem for filtering with applications to stability

Pavel Chigansky*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

Ergodic properties of the signal-filtering pair are studied for continuous time finite Markov chains, observed in white noise. The obtained law of large numbers is applied to the stability problem of the nonlinear filter with respect to initial conditions. The Furstenberg-Khasminskii formula is derived for the top Lyapunov exponent of the Zakai equation and is used to estimate the stability index of the filter.

Original languageAmerican English
Pages (from-to)908-917
Number of pages10
JournalSystems and Control Letters
Volume55
Issue number11
DOIs
StatePublished - Nov 2006
Externally publishedYes

Keywords

  • Ergodic theorem
  • Lyapunov exponents
  • Nonlinear filtering
  • Stability

Fingerprint

Dive into the research topics of 'An ergodic theorem for filtering with applications to stability'. Together they form a unique fingerprint.

Cite this