Abstract
We consider the Kalman filter in a random stationary environment. The associated Riccati equation has random parameters. We first describe some recent results we have obtained on the asymptotic behavior of this equation under a.s. stabilizability and detectability assumptions. They depend on contraction properties of Hamiltonian matrices. Then we give a simple self-contained proof under a stronger detectability condition.
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© 1992 Springer-Verlag
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Bougerol, P. (1992). Some results on the filtering Riccati equation with random parameters. In: Karatzas, I., Ocone, D. (eds) Applied Stochastic Analysis. Lecture Notes in Control and Information Sciences, vol 177. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007046
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DOI: https://doi.org/10.1007/BFb0007046
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