A deterministic discretisation-step upper bound for state estimation via Clark transformations

W. P. Malcolm, R. J. Elliott and J. van der Hoek

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-14

Abstract:

We consider the numerical stability of discretisation schemes for continuous-time state estimation filters. The dynamical systems we consider model the indirect observation of a continuous-time Markov chain. Two candidate observation models are studied. These models are (a) the observation of the state through a Brownian motion, and (b) the observation of the state through a Poisson process. It is shown that for robust filters (via Clark's transformation), one can ensure nonnegative estimated probabilities by choosing a maximum grid step to be no greater than a given bound. The importance of this result is that one can choose an a priori grid step maximum ensuring nonnegative estimated probabilities. In contrast, no such upper bound is available for the standard approximation schemes. Further, this upper bound also applies to the corresponding robust smoothing scheme, in turn ensuring stability for smoothed state estimates.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:379214

DOI: 10.1155/S1048953304311032

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