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The Kalman-Bucy filter revisited

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


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