Periodic Linear Differential Stochastic Processes

DOI10.1137/0313023MaRDI QIDQ4045936zbMATH OpenOpenAlexFDO

Authors Huibert Kwakernaak

Publication date 1975

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

Full work available at URL https://research.utwente.nl/en/publications/periodic-linear-differential-stochastic-processes(c9ed352c-aedb-4fd2-b4c1-debd8ea7a114).html

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic systems and control (93E99)

Cited in

(7)

• Quadratic control for linear periodic systems
• Linear stochastic differential equations with boundary conditions
• The class of distributions of periodic Ornstein-Uhlenbeck processes driven by Lévy processes
• On Bernstein processes generated by hierarchies of linear parabolic systems in \(\mathbb{R}^d\)
• Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts
• On some Gaussian Bernstein processes in \(\mathbb{R}^N\) and the periodic Ornstein-Uhlenbeck process
• Weak approximations. A Malliavin calculus approach

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