The conditional Poincaré inequality inheritance conjecture for filters

Let XX be a Markov process satisfying the standard Poincaré inequality with constant c0c_0, and let the filtration Z{\cal Z} be obtained using the observation model. The conditional Poincaré inequality is

enrTμˉ(F)cvarTμˉ(F)FLZT2(S),  T0.\operatorname{enr}^{\bar{\mu}}_T(F)\geq c\,\operatorname{var}^{\bar{\mu}}_T(F)\quad\forall F\in L^2_{{\cal Z}_T}(\mathbb{S}),\;\forall T\geq0.

Conditional Poincaré inequality inheritance conjecture. Suppose the standard form of the Poincaré inequality holds for XX with constant c0c_0, and suppose Z{\cal Z} is obtained using the observation model. Then the conditional Poincaré inequality holds with a positive constant cc. This conjecture asserts that filter observations preserve enough of the underlying Markov process's Poincaré structure to yield a positive conditional constant. The supplied text gives no resolution or general conditions guaranteeing the claim.

Sources & referencesView supporting material

Primary source

Jin Won Kim, Prashant G. Mehta and Sean Meyn, “The Conditional Poincaré Inequality for Filter Stability”, arXiv:2103.14631 (2021).

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