On exponential stability of Wonham filter
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🧮 math.PR
math.OC
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exponentialfilterproofstabilitywonhamasymptoticboundconcerning
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We give elementary proof of a stability result concerning an exponential asymptotic ($t\to\infty$) for filtering estimates generated by wrongly initialized Wonham filter. This proof is based on new exponential bound having independent interest.
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