Approximation of Itô Integrals Arising in Stochastic Time-Delayed Systems

DOI10.1137/0322055MaRDI QIDQ3342311zbMATH OpenOpenAlexFDO

Authors Arunabha Bagchi

Publication date 1984

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0322055

zbMATH Keywords

linear stochastic system with a finite number of delaysparameter estimationRadon-Nikodym derivativewhite noise model

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic approximation (62L20) Linear systems in control theory (93C05) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Estimation and detection in stochastic control theory (93E10)

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Cited in

(2)

• A systematic elimination procedure for Ito stochastic differential equations and the adiabatic approximation
• Boundary value processes: Estimation and identification

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