Stochastic Comparison, Boundedness, Weak Convergence, and Ergodicity of a Random Riccati Equation with Markovian Binary Switching
DOI10.1137/100816936zbMath1242.93131OpenAlexW2091896264MaRDI QIDQ2884607
Publication date: 30 May 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/100816936
weak convergenceboundednessergodicityinvariant distributionrandom Riccati equationexpectation orderMarkov-Feller operator
Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Ergodic theorems, spectral theory, Markov operators (37A30) Convergence of probability measures (60B10) Stochastic difference equations (39A50)
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