Fixed-gain estimation in continuous time (Q1332523)

A simple approximation for the fixed-gain parameter estimation error of a continuous-time stochastic system is considered. The error can be written as a stochastic integral plus a residual term which has moments of order \(\lambda+ o(\lambda)\) (\(\lambda\) is the forgetting factor). The result is obtained by fixed-gain estimation methods which are also called ``estimation with forgetting''. Analogous theorems for discrete and continuous time have been proved earlier by the authors.