The Kalman-Bucy filter revisited,
with Russell Johnson,
Discrete Cont. Dyn. Sys. - Ser. A 34 (10) (2014), 4139-4153.
The properties of the error covariance matrix and the asymptotic error covariance matrix of the
Kalman-Bucy filter model with time-varying coefficients are studied. Techniques of the theory of
nonautonomous differential systems as the exponential dichotomy concept and the rotation
number are fundamental tools for the analysis.