Periodic linear differential stochastic processes

Huibert Kwakernaak

    Research output: Contribution to journalArticleAcademic

    11 Citations (Scopus)
    51 Downloads (Pure)

    Abstract

    Periodic linear differential processes are defined and their properties are analyzed. Equivalent representations are discussed, and the solutions of related optimal estimation problems are given. An extension is presented of Kailath and Geesey’s [1] results concerning the innovations representation of stochastic processes with a given covariance function.
    Original languageEnglish
    Pages (from-to)400-413
    JournalSIAM journal on control and optimization
    Volume13
    Issue number2
    DOIs
    Publication statusPublished - 1975

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