Asymptotic Stability of the Optimal Filter with Respect toIts Initial Condition

Authors:
Daniel Ocone;Etienne Pardoux
Affiliations:
-;-
Venue:
SIAM Journal on Control and Optimization
Year:
1996

Citing 0
Cited 2

Practical stability of approximating discrete-time filters with respect to model mismatch

Automatica (Journal of IFAC)
Survey paper: A partial history of the early development of continuous-time nonlinear stochastic systems theory

Automatica (Journal of IFAC)

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Abstract

Consider the problem of estimation of a diffusion signal observed in additive white noise. If the solution to the filtering equations, initialized with an incorrect prior distribution, approaches the true conditional distribution asymptotically in time, then the filter is said to be asymptotically stable with respect to perturbations of the initial condition. This paper presents asymptotic stability results for linear filtering problems and for signals with limiting ergodic behavior. For the linear case, stability of the Riccati equation of Kalman filtering is used to derive almost sure asymptotic stability of linear filters for possibly non-Gaussian initial conditions. In the nonlinear case, asymptotic stability in a weak convergence sense is shown for filters of signal diffusions which converge in law to an invariant distribution.