BISHOP, Adrian; DEL MORAL, Pierre

doi:10.1214/19-EJP342

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BISHOP, Adrian
University of Technology Sydney [UTS]

DEL MORAL, Pierre
Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]

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Electronic Journal of Probability. 2019, vol. 24

Institute of Mathematical Statistics (IMS)

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The stability properties of matrix-valued Riccati diffusions are investigated. The matrix-valued Riccati diffusion processes considered in this work are of interest in their own right, as a rather prototypical model of a matrix-valued quadratic stochastic process. Under rather natural observability and controllability conditions, we derive time-uniform moment and fluctuation estimates and exponential contraction inequalities. Our approach combines spectral theory with nonlinear semigroup methods and stochastic matrix calculus. This analysis seem to be the first of its kind for this class of matrix-valued stochastic differential equation. This class of stochastic models arise in signal processing and data assimilation, and more particularly in ensemble Kalman-Bucy filtering theory. In this context, the Riccati diffusion represents the flow of the sample covariance matrices associated with McKean-Vlasov-type interacting Kalman-Bucy filters. The analysis developed here applies to filtering problems with unstable signals.< Leer menos

Palabras clave en inglés

Ensemble filtering methods

Ensemble Kalman-Bucy filters

Matrix quadratic stochas-tic differential equations

Matrix Riccati diffusion equations

Matrix Riccati equations

Uniformfluctuation estimates

Uniform stability estimates.

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On the stability of matrix-valued Riccati diffusions

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