On the stability of Kalman-Bucy diffusion processes

DOI10.1137/16M1102707MaRDI QIDQ4599720zbMATH OpenFDO

Authors 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)

Abstract: The Kalman-Bucy filter is the optimal state estimator for an Ornstein-Uhlenbeck diffusion given that the system is partially observed via a linear diffusion-type (noisy) sensor. Under Gaussian assumptions, it provides a finite-dimensional exact implementation of the optimal Bayes filter. It is generally the only such finite-dimensional exact instance of the Bayes filter for continuous state-space models. Consequently, this filter has been studied extensively in the literature since the seminal 1961 paper of Kalman and Bucy. The purpose of this work is to review, re-prove and refine existing results concerning the dynamical properties of the Kalman-Bucy filter so far as they pertain to filter stability and convergence. The associated differential matrix Riccati equation is a focal point of this study with a number of bounds, convergence, and eigenvalue inequalities rigorously proven. New results are also given in the form of exponential and comparison inequalities for both the filter and the Riccati flow.

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