The conditional Poincaré inequality inheritance conjecture for filters

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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

enr⁡Tμˉ(F)≥c var⁡Tμˉ(F)∀F∈LZT2(S),  ∀T≥0.\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.

References

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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