- 控制理论和非线性滤波讨论班

Variance Decay Property for Filter Stability

组织者

丘成栋

演讲者

孙泽钜

时间

2023年05月29日 15:30 至 16:00

地点

数学系理科楼A-203

摘要

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).