Title :
Necessary and Sufficient Conditions for Bounded Covariance in Linear Stochastic Systems
Author :
McCullough, Claire L. ; Birdwell, J.Douglas ; Lenhart, Suzanne
Author_Institution :
The University of Tennessee, Knoxville, TN 37996
Abstract :
The common assumption in much of the literature that an asymptotically stable system will result in bounded covariance in the limit as t ¿ ¿ is disproved by a simple counter-example. Necessary and sufficient conditions for bounded covariance are given and proved.
Keywords :
Asymptotic stability; Covariance matrix; Equations; Linear systems; State estimation; Stochastic systems; Sufficient conditions; Symmetric matrices; Tellurium; Time varying systems;
Conference_Titel :
American Control Conference, 1988
Conference_Location :
Atlanta, Ga, USA
