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SUMMARY:Stability of the optimal filter for nonergodic signals - a variati
 onal approach - Stannat\, W (Technische Universitat Darmstadt)
DTSTART:20100615T102000Z
DTEND:20100615T111000Z
UID:TALK25294@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We give an overview on results on stability of the optimal fil
 ter for signal processes with state space $R^d$ observed with independent 
 additive noise\, both in discrete and continuous time. Explicit lower boun
 ds on the rate of stability in terms of the coefficients of the signal and
  the  observation are obtained. For the time-continuous case the bounds ar
 e uniform w.r.t. appropriate time-discrete approximations. I also discuss 
 a particular extension to signals observed with independent multiplicative
  noise. 
LOCATION:Seminar Room 1\, Newton Institute
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