Ergodicity of hidden Markov models

[1]  R. Liptser,et al.  Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals , 2002, SIAM J. Control. Optim..

[2]  Amarjit Budhiraja,et al.  Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter , 2003 .

[3]  Neri Merhav,et al.  Hidden Markov processes , 2002, IEEE Trans. Inf. Theory.

[4]  A. Budhiraja Ergodic properties of the nonlinear filter , 2001 .

[5]  R. Douc,et al.  Asymptotics of the maximum likelihood estimator for general hidden Markov models , 2001 .

[6]  Harold J. Kushner,et al.  Monte Carlo Algorithms and Asymptotic Problems in Nonlinear Filtering , 2001 .

[7]  Daniel Hernández-Hernández,et al.  Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management , 1999, Math. Methods Oper. Res..

[8]  S. Pliska,et al.  Risk-Sensitive Dynamic Asset Management , 1999 .

[9]  Vivek S. Borkar,et al.  Ergodic control of partially observed Markov chains , 1998 .

[10]  F. Gland,et al.  Exponential Forgetting and Geometric Ergodicity in Hidden Markov Models , 1997, Proceedings of the 36th IEEE Conference on Decision and Control.

[11]  C. SIAMJ. LYAPUNOV EXPONENTS FOR FINITE STATE NONLINEAR FILTERING , 1997 .

[12]  D. Ocone,et al.  Asymptotic Stability of the Optimal Filter with Respect toIts Initial Condition , 1996 .

[13]  C. Liverani Decay of correlations , 1995 .

[14]  L. Stettner,et al.  Approximations of discrete time partially observed control problems , 1994 .

[15]  Richard L. Tweedie,et al.  Markov Chains and Stochastic Stability , 1993, Communications and Control Engineering Series.

[16]  H. Kunita Ergodic Properties of Nonlinear Filtering Processes , 1991 .

[17]  L. Stettner On invariant measures of filtering processes , 1989 .

[18]  K. Helmes,et al.  Stochastic Differential Systems , 1982 .

[19]  L. Rogers Stochastic differential equations and diffusion processes: Nobuyuki Ikeda and Shinzo Watanabe North-Holland, Amsterdam, 1981, xiv + 464 pages, Dfl.175.00 , 1982 .

[20]  池田 信行,et al.  Stochastic differential equations and diffusion processes , 1981 .

[21]  R. Khasminskii Stochastic Stability of Differential Equations , 1980 .

[22]  Thomas Kaijser A Limit Theorem for Partially Observed Markov Chains , 1975 .

[23]  H. Kunita Asymptotic behavior of the nonlinear filtering errors of Markov processes , 1971 .