On the stability of the Kalman–Bucy filter with stationary time varying parameters

DOI10.1080/07362990008809655MaRDI QIDQ4946980zbMATH OpenOpenAlexFDO

Authors Slim Fakhfakh

Publication date 13 June 2002

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990008809655

zbMATH Keywords

conditionally GaussianKalman filteringlinear filteringstable filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15)

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Cites work

• Almost Sure Stabilizability and Riccati’s Equation of Linear Systems with Random Parameters
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(14)

• On the stability and the concentration of extended Kalman-Bucy filters
• Asymptotic properties of linear filter for deterministic processes
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• Weiner and Kalman filters for systems with random parameters
• scientific article; zbMATH DE number 4026462 (Why is no real title available?)
• scientific article; zbMATH DE number 19540 (Why is no real title available?)
• Convergence of filters with applications to the Kalman-Bucy case
• scientific article; zbMATH DE number 1063778 (Why is no real title available?)
• On the stability of Kalman-Bucy diffusion processes
• The Kalman-Bucy filter revisited
• Parameter uncertainty in the Kalman-Bucy filter
• The Kalman-Bucy Filter as a True Time-Varying Wiener Filter
• A note on the stability of the Kalman-bucy filter with randomly time-varying parameters
• A generalization of the Kalman filter to models with infinite variance

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