On the Stability of Kalman--Bucy Diffusion Processes

DOI10.1137/16M1102707zbMath1390.60151arXiv1610.04686MaRDI QIDQ4599720

Adrian N. Bishop, Pierre Del Moral

Publication date: 4 January 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.04686

zbMATH Keywords

Kalman-Bucy filtertransition semigroupsdifferential Riccati equationsdiffusion flowsKalman-Bucy diffusion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Related Items (25)

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Uses Software

• EnKF

Cites Work

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