Convergence of discrete time Kalman filter estimate to continuous time estimate

Abstract: This article is concerned with the convergence of the state estimate obtained from the discrete time Kalman filter to the continuous time estimate as the temporal discretization is refined. We derive convergence rate estimates for different systems, first finite dimensional and then infinite dimensional with bounded or unbounded observation operators. Finally, we derive the convergence rate in the case where the system dynamics is governed by an analytic semigroup. The proofs are based on applying the discrete time Kalman filter on a dense numerable subset of a certain time interval $[0,T]$.