Discrete-time approximation of Wonham filters
Gang George YIN
Qing ZHANG
Yuanjin LIU
摘要：A continuous-time finite-state Markov chain observed in white noise is considered. The well-known result of Wonham filter provides a formula for obtaining posterior probabilities. Although the filter is of finite dimension, numerical schemes are needed in applications because of the nonlinearity and because the observations are frequently collected in discrete moments. In this work, we develop approximation schemes ofWonham filters by constructing discrete-time recursive algorithms. We prove the convergence of the algorithm by weak convergence method and martingale averaging techniques. Numerical experiments are also furnished to demonstrate the perfomance of our algorithms.
机标关键词：weak convergencefinite dimensionWonham filterMarkov chainwhite noise
分类号：O1(数学)
论文发表日期：2004-01-01
在线出版日期：2025-08-15（本平台首次上网日期，不代表文献的发表时间）
页数：10( 1-10 )
英文信息