The Kalman-Bucy filter revisited

Russell Johnson; Carmen Núñez

doi:10.3934/dcds.2014.34.4139

Article Contents

2014, Volume 34, Issue 10: 4139-4153. Doi: 10.3934/dcds.2014.34.4139

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The Kalman-Bucy filter revisited

Russell Johnson^1, and
Carmen Núñez^2,

1.
Dipartimento di Sistemi e Informatica, Università di Firenze, Facolta' di Ingegneria, Via di Santa Marta 3, 50139 Firenze
2.
Departamento de Matemática Aplicada, E. Ingenierías Industriales, Universidad de Valladolid, Paseo del Cauce 59, 47011 Valladolid

Received: October 31, 2012

Published: September 2014

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Abstract

We study the properties of the error covariance matrix and the asymptotic error covariance matrix of the Kalman-Bucy filter model with time-varying coefficients. We make use of such techniques of the theory of nonautonomous differential systems as the exponential dichotomy concept and the rotation number.

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Mathematics Subject Classification: 37B55, 93C05, 94E11.

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