Lyapunov exponents for filtering problems. (English) Zbl 0738.60033
Applied stochastic analysis, Pap. Workshop, London/UK 1989, Stochastic Monogr. 5, 511-521 (1990).
[For the entire collection see Zbl 0728.00017.]
It is considered the dependence of the conditional density on the initial distribution of the state for continuous time linear filtering and for finite state space nonlinear filtering. There are given three theorems concerning the behaviour of a functional similar to the Lyapunov exponent.
It is considered the dependence of the conditional density on the initial distribution of the state for continuous time linear filtering and for finite state space nonlinear filtering. There are given three theorems concerning the behaviour of a functional similar to the Lyapunov exponent.
Reviewer: C.Vârsan (Bucureşti)
MSC:
| 60G35 | Signal detection and filtering (aspects of stochastic processes) |
| 93E11 | Filtering in stochastic control theory |
