39 citations · 83 across the 20 of their papers we have counts for
4 papers · 1 filter
On-line tracking of a smooth regression function
L. Goldentayer, R. Liptser
We construct an on-line estimator with equidistant design for tracking a smooth function from Stone-Ibragimov-Khasminskii class. This estimator has the optimal convergence rate of…
Asymptotic stability of the Wonham filter for ergodic and nonergodic signals
P. Baxendale, P. Chigansky, R. Liptser
Stability problem of the Wonham filter with respect to initial conditions is addressed. The case of ergodic signals is revisited in view of a gap in the classic work of H. Kunita (…
On diffusion approximation with discontinuous coefficients
N. V. Krylov, R. Liptser
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in whic…
On exponential stability of Wonham filter
P. Chigansky, R. Liptser
We give elementary proof of a stability result concerning an exponential asymptotic () for filtering estimates generated by wrongly initialized Wonham filter. This proo…