Convergence of discrete-time Kalman filter estimate to continuous time estimate

DOI10.1080/00207179.2015.1090017zbMath1338.93364arXiv1408.1275OpenAlexW1760063196MaRDI QIDQ2807884

Atte Aalto

Publication date: 25 May 2016

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1275

zbMATH Keywords

Kalman filtersampled datainfinite dimensional systemstemporal discretisation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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