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math.PR2021
A Dual Characterization of the Stability of the Wonham Filter
Jin Won Kim, Prashant G. Mehta
This paper revisits the classical question of the stability of the nonlinear Wonham filter. The novel contributions of this paper are two-fold: (i) definition of the stabilizabilit…
math.PR2021
The Conditional Poincaré Inequality for Filter Stability
Jin Won Kim, Prashant G. Mehta, Sean Meyn
This paper is concerned with the problem of nonlinear filter stability of ergodic Markov processes. The main contribution is the conditional Poincaré inequality (PI), which is show…