On stability of random Riccati equations

  • Yuan Wang
  • Lei Guo


Random Riccati equations (RRE) arise frequently in filtering, estimation and control, but their stability properties are rarely rigorously explored in the literature. First a suitable stochastic observability (or excitation) condition is introduced to guarantee both theL r- and exponential stability of RRE. Then the stability of Kalman filter is analyzed with random coefficients, and theL r boundedness of filtering errors is established.


random Riccati equation stochastic stability Kalman filter excitation 


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Copyright information

© Science in China Press 1999

Authors and Affiliations

  • Yuan Wang
    • 1
  • Lei Guo
    • 1
  1. 1.Institute of Systems ScienceChinese Academy of SciencesBeijingChina

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