An ergodic theorem for filtering with applications to stability

被引：8
作者：
Chigansky, Pavel [1 ]
机构：
[1] Weizmann Inst Sci, Dept Math, IL-76100 Rehovot, Israel
来源：
SYSTEMS & CONTROL LETTERS | 2006年 / 55卷 / 11期
关键词：
Nonlinear filtering; Lyapunov exponents; stability; ergodic theorem;
D O I：
10.1016/j.sysconle.2006.06.001
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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. (C) 2006 Elsevier B.V. All rights reserved.
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收藏
页码：908 / 917
页数：10
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