Electronic Journal of Probability

Phase transitions in nonlinear filtering

Patrick Rebeschini and Ramon van Handel

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It has been established under very general conditions that the ergodic properties of Markov processes are inherited by their conditional distributions given partial information.  While the existing theory provides a rather complete picture of classical filtering models, many infinite dimensional problems are outside its scope.  Far from being a technical issue, the infinite dimensional setting gives rise to surprising phenomena and new questions in filtering theory. The aim of this paper is to discuss some elementary examples, conjectures, and general theory that arise in this setting, and to highlight connections with problems in statistical mechanics and ergodic theory.  In particular, we exhibit a simple example of a uniformly ergodic model in which ergodicity of the filter undergoes a phase transition, and we develop some qualitative understanding as to when such phenomena can and cannot occur.We also discuss closely related problems in the setting of conditional Markov random fields.

Article information

Electron. J. Probab., Volume 20 (2015), paper no. 7, 46 pp.

Accepted: 1 February 2015
First available in Project Euclid: 4 June 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 37A50: Relations with probability theory and stochastic processes [See also 60Fxx and 60G10]
Secondary: 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx] 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43] 82B26: Phase transitions (general) 82B44: Disordered systems (random Ising models, random Schrödinger operators, etc.)

filtering in infinite dimension conditional ergodicity and mixing phase transitions

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Rebeschini, Patrick; van Handel, Ramon. Phase transitions in nonlinear filtering. Electron. J. Probab. 20 (2015), paper no. 7, 46 pp. doi:10.1214/EJP.v20-3281. https://projecteuclid.org/euclid.ejp/1465067113

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