Convergence of filters with applications to the Kalman-Bucy case

DOI10.1109/18.135648zbMath0753.60039OpenAlexW2163172394MaRDI QIDQ4008339

Eimear M. Goggin

Publication date: 27 September 1992

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.135648

zbMATH Keywords

stochastic difference equationsKalman-Bucy filteringconvergence of conditional expectationsasymptotically optimal estimate

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (5)

Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises ⋮ Nonlinear filtering problem with contamination ⋮ A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS ⋮ Robustness of the nonlinear filter: the correlated case. ⋮ Robustness of the nonlinear filter

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