论文信息 - Adaptive stochastic filtering problems : the continuous time case : (preprint)

Adaptive stochastic filtering problems : the continuous time case : (preprint)

The adaptive stochastic filtering problem for Gaussian processes is considered. The selftuning-synthesis procedure is used to derive two algorithms for this problem. Almost sure convergence for the parameter estimate and the filtering error will be established. The convergence analysis is based on an almost-supermartingale convergence lemma that allows a stochastic Lyapunov like approach.

van Jan Schuppen | van Jh Jan Schuppen

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