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Neutral stochastic differential delay equations (NSDDEs) have recently been studied intensively (see e.g. [V.B. Kolmanovskii, V.R. Nosov, Stability and Periodic Modes of Control Systems with Aftereffect, Nauka, Moscow, 1981; X. Mao, Exponential stability in mean square of neutral stochastic differential functional equations, Systems Control Lett. 26 (1995) 245–251; X. Mao, Razumikhin type theorems...
Asymptotic stability of the optimal filter with respect to its initial conditions is investigated in this paper. Under the assumption that the observation function is one to one and the observation noise is sufficiently small, it is shown that exponential stability of the nonlinear filter holds for a large class of denumerable Markov chains, including all finite Markov chains. Throughout this paper,...
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