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Stability of non-linear filter for deterministic dynamics. (English) Zbl 1481.93135

Summary: This papers shows that nonlinear filter in the case of deterministic dynamics is stable with respect to the initial conditions under the conditions that observations are sufficiently rich, both in the context of continuous and discrete time filters. Earlier works on the stability of the nonlinear filters are in the context of stochastic dynamics and assume conditions like compact state space or time independent observation model, whereas we prove filter stability for deterministic dynamics with more general assumptions on the state space and observation process. We give several examples of systems that satisfy these assumptions. We also show that the asymptotic structure of the filtering distribution is related to the dynamical properties of the signal.

MSC:

93E11 Filtering in stochastic control theory
93E15 Stochastic stability in control theory
93C10 Nonlinear systems in control theory

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References:

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