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.