On the consistent filtering of convergent semimartingales

DOI10.1016/J.SPA.2018.03.004zbMath1404.93031OpenAlexW2793686153MaRDI QIDQ1756968

David Levanony

Publication date: 28 December 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2018.03.004

zbMATH Keywords

convergencefilteringpersistent excitationcontinuous semimartingales

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Generalizations of martingales (60G48) Identification in stochastic control theory (93E12)

Related Items (2)

On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits ⋮ Stochastic $\varepsilon$-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy

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• Persistence of Excitation Properties for Time-Varying Autoregressive Systems
• On Persistent Excitation for Linear Systems with Stochastic Coefficients
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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