Convergence of discrete-time Kalman filter estimate to continuous-time estimate for systems with unbounded observation

DOI10.1007/s00498-018-0214-4zbMath1396.93118arXiv1512.02473OpenAlexW2288980098WikidataQ129652078 ScholiaQ129652078MaRDI QIDQ1659558

Atte Aalto

Publication date: 22 August 2018

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.02473

zbMATH Keywords

infinite-dimensional systemsboundary control systemstemporal discretizationsampled dataKalman-Bucy filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Sampled-data control/observation systems (93C57) Observability (93B07)

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