Convergence results for continuous-time adaptive stochastic filtering algorithms

DOI10.1016/0022-247X(83)90038-0zbMath0523.93057MaRDI QIDQ585159

Jan H. van Schuppen

Publication date: 1983

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

zbMATH Keywords

algorithmsKalman filteringalmost sure convergenceadaptative stochastic filtering

Mathematics Subject Classification ID

Related Items (8)

Recursive parameter estimation for counting processes with linear intensity ⋮ Convergence of continuous time stochastic ELS parameter estimation ⋮ Recursive approximate maximum likelihood estimation for a class of counting process models ⋮ On necessary conditions for the existence of finite-dimensional filters in discrete time ⋮ Analysis of an identification algorithm arising in the adaptive estimation of Markov chains ⋮ Consistency property of extended least-squares parameter estimation for stochastic diffusion equation ⋮ Recursive identification in continuous-time stochastic processes ⋮ Adaptive control of Markov processes with incomplete state information and unknown parameters

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