On the stability of matrix-valued Riccati diffusions

TL;DR

This paper analyzes the stability of matrix-valued Riccati diffusions, providing uniform moment and fluctuation estimates, and exponential contraction properties, with applications in signal processing and data assimilation.

Contribution

It introduces a novel stability analysis for matrix-valued Riccati diffusions using spectral theory and stochastic calculus, a first in this class of equations.

Findings

Derived time-uniform moment estimates

Established exponential contraction inequalities

Applied results to filtering with unstable signals

Abstract

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.