English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

This paper is concerned with the problem of nonlinear (stochastic) filterstability of a hidden Markov model (HMM) with white noise observations. Themain contribution is the variance decay property which is used to concludefilter stability. The property is closely inspired by the Poincar\'e inequality(PI) in the study of stochastic stability of Markov processes. In this paper,the property is related to both the ergodicity of the Markov process as well asthe observability of the HMM. The proofs are based upon a recently discoveredminimum variance duality which is used to transform the nonlinear filteringproblem into a stochastic optimal control problem for a backward stochasticdifferential equation (BSDE).

Variance Decay Property for Filter Stability