Stability of nonlinear filters in non-mixing case
P. Chigansky, R. Liptser, Yn Rp · 2004
The nonlinear filtering equation is said to be stable if it “forgets” the initial condition. It is known that the filter might be unstable even if the signal is an ergodic Markov chain. In general, the filtering stability requires stronger signal ergodicity provided by the, so called, mixing condition. The latter is formulated in terms of the transition probability density of the signal. The most restrictive requirement of the mixing condition is the uniform positiveness of this density. We show that it might be relaxed regardless of an observation process structure. 1. Introduction and the main result. This paper addresses the stability problem of the nonlinear filtering equation with respect to its initial condition. We consider a homogeneous ergodic Markov chain (Xn)n≥0 with values in S ⊆ Rd regarded as a signal to be filtered from observation of (Yn)n≥1,