Long time asymptotics for some dynamical noise free non-linear filtering problems, new cases - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports (Research Report) Year : 1995

Long time asymptotics for some dynamical noise free non-linear filtering problems, new cases

Frédéric Cérou
  • Function : Author
  • PersonId : 830625

Abstract

We are interested here in the long time behaviour of the conditional law for a special case of filtering problem: there is no noise on the state equation and the prior law of the state process concentrate fast in some neighborhood of a limit cycle with strictly negative characteristic exponents. Then assuming a deterministic observability property on the cycle we show the concentration of the conditional law on an arbitrary neighborhood of the current (unknown) state as the time goes to infinity. This work can be considered as illustrating how the tools of dynamical systems theory can be use to study the long time behavior of the filtering process.

Domains

Other [cs.OH]
Fichier principal
Vignette du fichier
RR-2541.pdf (233.56 Ko) Télécharger le fichier

Dates and versions

inria-00074137 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00074137 , version 1

Cite

Frédéric Cérou. Long time asymptotics for some dynamical noise free non-linear filtering problems, new cases. [Research Report] RR-2541, INRIA. 1995. ⟨inria-00074137⟩
56 View
49 Download

Share

Gmail Facebook X LinkedIn More