LINEAR STOCHASTIC STATE SPACE THEORY IN THE WHITE NOISE SPACE SETTING

作者：Alpay Daniel^*; Levanony David; Pinhas Ariel

来源：SIAM Journal on Control and Optimization, 2010, 48(8): 5009-5027.

DOI：10.1137/090777116

• random systems
• state space equations
• Wick product
• systems over commutative rings
• white noise space

We study linear stochastic state space equations within the white noise space setting. A commutative ring of power series in a countable number of variables plays an important role. Transfer functions are rational functions with coefficients in this commutative ring and are characterized in a number of ways. A major feature in our approach is the observation that key characteristics of a linear, time invariant, stochastic system are determined by the corresponding characteristics associated with the deterministic part of the system, namely, its average behavior.

• 出版日期2010