STABILITY OF THE OPTIMAL FILTER IN CONTINUOUS TIME: BEYOND THE BENEŠ FILTER

Abstract : We are interested in the optimal filter in a continuous time setting. We want to show that the optimal filter is stable with respect to its initial condition. We reduce the problem to a discrete time setting and apply truncation techniques coming from [OR05]. Due to the continuous time setting, we need a new technique to solve the problem. In the end, we show that the forgetting rate is at least a power of the time t. The results can be re-used to prove the stability in time of a numerical approximation of the optimal filter.
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https://hal.univ-cotedazur.fr/hal-01301157
Contributeur : Sylvain Rubenthaler <>
Soumis le : mardi 18 octobre 2016 - 09:32:59
Dernière modification le : jeudi 3 mai 2018 - 13:32:58

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  • HAL Id : hal-01301157, version 2
  • ARXIV : 1604.03345

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Van Bien Bui, Sylvain Rubenthaler. STABILITY OF THE OPTIMAL FILTER IN CONTINUOUS TIME: BEYOND THE BENEŠ FILTER. 2016. 〈hal-01301157v2〉

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