On the stability and the concentration of extended Kalman-Bucy filters

DOI10.1214/18-EJP188zbMath1401.93199arXiv1606.08251MaRDI QIDQ1990224

Pierre Del Moral, Julian Tugaut, Aline Kurtzmann

Publication date: 25 October 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08251

zbMATH Keywords

Lyapunov exponentsRiccati equationconcentration inequalitiesextended Kalman-Bucy filternon-asymptotic exponential stability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15)

Related Items (4)

Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ On the convergence of the unscented Kalman filter ⋮ On Stability of a Class of Filters for Nonlinear Stochastic Systems ⋮ Data informed solution estimation for forward-backward stochastic differential equations

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