BIMSA > Seminar on Control Theory and Nonlinear Filtering Kalman-Bucy Diffusion Processes and Filtering Stability
Kalman-Bucy Diffusion Processes and Filtering Stability
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Monday, June 26, 2023 2:30 PM - 3:00 PM
Venue
数学系理科楼A-203
Abstract
In this talk, we will review the recent results about Kalman-Bucy processes and their applications in the stability theory of linear filtering. The dynamical properties of the Kalman-Bucy filter are discussed. Based on the controllability and observability conditions, the stability of filtering in the linear Gaussian cases can be rigorously derived, which may also provide some intuition to the stability results of nonlinear filtering. This talk is based on the recent works of Adrian N. Bishop and Pierre Del Moral: arXiv:1610.04686 and arXiv:2006.08843.