Stochastic stability of the continuous-time extended Kalman filter
Konrad Reif, S. Günther, Edwin Engin Yaz, R. Unbehauen · IEE Proceedings - Control Theory and Applications · 2000
The error behaviour of the extended Kalman filter is analysed. It is proved that the estimation error remains bounded if the system satisfies a detectability condition and both the initial estimation error and the disturbing noise terms are small enough. Moreover, some selected cases with both bounded and unbounded estimation error are demonstrated by numerical simulations.