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math.OC2023★ 5 cited
Variance Decay Property for Filter Stability
Jin Won Kim, Prashant G. Mehta
This paper is concerned with the problem of nonlinear (stochastic) filter stability of a hidden Markov model (HMM) with white noise observations. A contribution is the variance dec…
math.NA2023
On forward-backward SDE approaches to continuous-time minimum variance estimation
Jin Won Kim, Sebastian Reich
The work of Kalman and Bucy has established a duality between filtering and optimal estimation in the context of time-continuous linear systems. This duality has recently been exte…