On the stability and the concentration of extended Kalman-Bucy filters
DOI10.1214/18-EJP188zbMath1401.93199arXiv1606.08251MaRDI QIDQ1990224
Pierre Del Moral, Julian Tugaut, Aline Kurtzmann
Publication date: 25 October 2018
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.08251
Lyapunov exponentsRiccati equationconcentration inequalitiesextended Kalman-Bucy filternon-asymptotic exponential stability
Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15)
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Cites Work
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