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Stability of the nonlinear filter for slowly switching Markov chains

P. Chigansky
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Abstract

Exponential stability of the nonlinear filtering equation is revisited, when the signal is a finite state Markov chain. An asymptotic upper bound for the filtering error due to incorrect initial condition is derived in the case of slowly switching signal.

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P. Chigansky. 2006-07-17. Stability of the nonlinear filter for slowly switching Markov chains. https://arxiv.org/abs/math/0411596

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