Periodic linear differential stochastic processes

Huibert Kwakernaak

doi:10.1137/0313023

Periodic linear differential stochastic processes

Huibert Kwakernaak

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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.

Original language	English
Pages (from-to)	400-413
Journal	SIAM journal on control and optimization
Volume	13
Issue number	2
DOIs	https://doi.org/10.1137/0313023
Publication status	Published - 1975

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title = "Periodic linear differential stochastic processes",

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{\textquoteright}s [1] results concerning the innovations representation of stochastic processes with a given covariance function.",

author = "Huibert Kwakernaak",

year = "1975",

doi = "10.1137/0313023",

language = "English",

volume = "13",

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journal = "SIAM journal on control and optimization",

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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

SP - 400

EP - 413

JO - SIAM journal on control and optimization

JF - SIAM journal on control and optimization

SN - 0363-0129

IS - 2

ER -

Periodic linear differential stochastic processes

Abstract

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