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

 

作者: Slim Fakhfakh,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 2000）
卷期: Volume 18, issue 1  

页码: 73-85

 

ISSN:0736-2994

 

年代: 2000

 

DOI:10.1080/07362990008809655

 

出版商: Marcel Dekker, Inc.

 

关键词: Kalman Filtering;Conditionally Gaussian;Stochastic Parameters;Riccati Equation;Stabilizability;Detectability

 

数据来源: Taylor

 

摘要:

Linear filtering systems with stationary parameters are considered in continuous time. We generalize the conditionally Gaussian result of Lipster – Shiryaev and Haussmann – Pardoux. Moreover, we show that the Kalman – Bucy filter is exponentially stable under weak conditions of stabile ability and detect ability. This filter will have a well defined asymptotic behaviour

 

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