BIMSA > Seminar on Control Theory and Nonlinear Filtering Variance Decay Property for Filter Stability
Variance Decay Property for Filter Stability
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Monday, May 29, 2023 3:30 PM - 4:00 PM
Venue
数学系理科楼A-203
Abstract
In this talk, we will review the paper "Variance Decay Property for Filter Stability" by J. Kim and P. Mehta. The main contribution of this paper is the variance decay property which is used to conclude filter stability. The property is closely inspired by the Poincare inequality (PI) in the study of stochastic stability of Markov processes. The proofs are based upon a recently discovered minimum variance duality which is used to transform the nonlinear filtering problem into a stochastic optimal control problem for a backward stochastic differential equation (BSDE).