Almost Sure Stabilizability and Riccati's Equation of Linear Systems with Random Parameters

Authors:
Philippe Bougerol
Affiliations:
-
Venue:
SIAM Journal on Control and Optimization
Year:
1995

Citing 0
Cited 2

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Abstract

Linear systems with stationary time-varying parameters are considered. The notions of almost sure stabilizability and almost sure detectability are explored. Under these properties the asymptotic behavior of the associated Riccati equation is described. In particular, the stability of the Kalman filter and the convergence of linear observers are proved.