On the stability of the Kalman–Bucy filter with stationary time varying parameters

DOI10.1080/07362990008809655zbMath0986.93067OpenAlexW2014995715MaRDI QIDQ4946980

Slim Fakhfakh

Publication date: 13 June 2002

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

Full work available at URL: https://doi.org/10.1080/07362990008809655

zbMATH Keywords

Kalman filteringlinear filteringconditionally Gaussianstable filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15)

Cites Work

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• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Almost Sure Stabilizability and Riccati’s Equation of Linear Systems with Random Parameters
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition

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