Stochastic Comparison, Boundedness, Weak Convergence, and Ergodicity of a Random Riccati Equation with Markovian Binary Switching

DOI10.1137/100816936zbMath1242.93131OpenAlexW2091896264MaRDI QIDQ2884607

Li Xie

Publication date: 30 May 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100816936

zbMATH Keywords

weak convergenceboundednessergodicityinvariant distributionrandom Riccati equationexpectation orderMarkov-Feller operator

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Ergodic theorems, spectral theory, Markov operators (37A30) Convergence of probability measures (60B10) Stochastic difference equations (39A50)

Related Items (2)

An improved stability condition for Kalman filtering with bounded Markovian packet losses ⋮ Stability of Kalman filtering with a random measurement equation: application to sensor scheduling with intermittent observations

This page was built for publication: Stochastic Comparison, Boundedness, Weak Convergence, and Ergodicity of a Random Riccati Equation with Markovian Binary Switching