To spike or not to spike: the whims of the Wonham filter in the strong noise regime

Abstract

We study the celebrated Shiryaev-Wonham filter in its historical setup of Wonham (1964) where the hidden Markov jump process has two states. We are interested in the weak noise regime for the observation equation. Interestingly, this becomes a strong noise regime for the filtering equations. Earlier results of the authors show the appearance of spikes in the filtered process, akin to a metastability phenomenon. This paper is aimed at understanding the smoothed optimal filter, which is relevant for any system with feedback. In particular, we demonstrate that there is a sharp phase transition between a spiking regime and a regime with perfect smoothing.Comment: v1: Preliminary versio