Convergence results for continuous-time adaptive stochastic filtering algorithms

DOI10.1016/0022-247X(83)90038-0MaRDI QIDQ585159zbMATH OpenFDO

Authors Jan H. van Schuppen

Publication date 1983

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

algorithmsKalman filteringalmost sure convergenceadaptative stochastic filtering

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10)

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• A globally convergent adaptive predictor
• Asymptotic inference for stochastic processes
• Continuous time systems identification with unknown noise covariance
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Cited in

(8)

• Convergence of continuous time stochastic ELS parameter estimation
• Analysis of an identification algorithm arising in the adaptive estimation of Markov chains
• Consistency property of extended least-squares parameter estimation for stochastic diffusion equation
• On necessary conditions for the existence of finite-dimensional filters in discrete time
• Recursive approximate maximum likelihood estimation for a class of counting process models
• Adaptive control of Markov processes with incomplete state information and unknown parameters
• Recursive identification in continuous-time stochastic processes
• Recursive parameter estimation for counting processes with linear intensity

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