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Duality Theory for Filter Stability in Hidden Markov Models

Mehta, Prashant G.
arXiv (All) · Papers
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60j1093e20optimization-and-controlprobability
This article is concerned with the problem of nonlinear (stochastic) filter stability for a discrete time hidden Markov model (HMM) with finite state and observation spaces. For this purpose, a comprehensive duality theory is developed whereby the dual control system is a backward stochastic differe
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