ASYMPTOTIC STABILITY OF NONLINEAR FILTERS

Pavel CHIGANSKI
The Weizmann Institute of Science
Tel Aviv, Israel


ABSTRACT

The solution to the filtering problem, i.e. on-line estimation of the signal from noisy observations, is usually given by a nonlinear stochastic equation in the space of probability measures. Much research have been done recently around the stability properties of this equation with respect to the initial conditions. I'll give a survey on the recent advance and open problems in this area.



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