Ergodicity of filtering processes: the history of a mistake and attempts to correct it
Abstract
The paper describes briefly a history of filtering problems of Markov processes and then concentrates on ergodic properties of filtering process. A mistake in a famous Kunita paper on ergodicity of filtering processes is shown. Then the paper reviews various attempts trying to correct this mistake.
Keywords
Markov processes; partial observation; filtering process; invariant measures
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Instytut Matematyki, Polska Akademia Nauk Poland
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