EXPONENTIAL STABILITY FOR NONLINEAR FILTERING

We study the a.s. exponential stability of the optimal filter w.r.t. i ts initial conditions. A bound is provided on the exponential rate (eq uivalently, on the memory length of the filter) for a general setting both in discrete and in continuous time, in terms of Birkhoff's contra ction coefficient. Criteria for exponential stability and explicit bou nds on the rate are given in the specific cases of a diffusion process on a compact manifold, and discrete time Markov chains on both contin uous and discrete-countable state spaces. A similar question regarding the optimal smoother is investigated and a stability criterion is pro vided.