Periodic linear differential stochastic processes

Huibert Kwakernaak

    Research output: Contribution to journalArticleAcademic

    11 Citations (Scopus)
    38 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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    Optimal Estimation
    Covariance Function
    Random processes
    Stochastic Processes
    Innovation

    Cite this

    Kwakernaak, Huibert. / Periodic linear differential stochastic processes. In: SIAM journal on control and optimization. 1975 ; Vol. 13, No. 2. pp. 400-413.
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    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.",
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    Periodic linear differential stochastic processes. / Kwakernaak, Huibert.

    In: SIAM journal on control and optimization, Vol. 13, No. 2, 1975, p. 400-413.

    Research output: Contribution to journalArticleAcademic

    TY - JOUR

    T1 - Periodic linear differential stochastic processes

    AU - Kwakernaak, Huibert

    PY - 1975

    Y1 - 1975

    N2 - 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.

    AB - 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.

    U2 - 10.1137/0313023

    DO - 10.1137/0313023

    M3 - Article

    VL - 13

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    EP - 413

    JO - SIAM journal on control and optimization

    JF - SIAM journal on control and optimization

    SN - 0363-0129

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