Stability of the Filter Equation for a Time-Dependent Signal on ℝd |
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Authors: | Wilhelm Stannat |
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Institution: | (1) Fakultat fur Mathematik, Universitat Bielefeld, Postfach 100131, 33501 Bielefeld , Germany |
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Abstract: | Stability of the pathwise filter equation for a time-dependent signal process induced by a
d-dimensional stochastic differential equation and a linear observation is studied, using a
variational approach introduced in 16]. A lower bound for the rate of stability is identified
in terms of the mass-gap of a parabolic ground state transform associated with the generator of the
signal process and the square of the observation. The lower bound can be easily calculated a priori and
provides hints on how precisely to measure the signal in order to reach a certain rate of stability. Ergodicity
of the signal process is not needed. |
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Keywords: | Stability Optimal
filter Time-dependent nonlinear signal Log-concavity |
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