On the Stability of Kalman--Bucy Diffusion Processes

Report, Article, Preprint English OPEN
Bishop, Adrian,; Del Moral, Pierre;
  • Publisher: Society for Industrial and Applied Mathematics
  • Related identifiers: doi: 10.1137/16M1102707
  • Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | Mathematics - Optimization and Control | Kalman-Bucy diffusion | diffusion flows | transition semigroups | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | Mathematics - Probability | Kalman-Bucy filter | differential Riccati equations

International audience; 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... View more
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