Linear stochastic state space theory in the white noise space setting

DOI10.1137/090777116MaRDI QIDQ3083253zbMATH OpenOpenAlexFDO

Authors David Levanony, Ariel Pinhas, Daniel Alpay

Publication date 21 March 2011

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

Full work available at URL https://arxiv.org/abs/0911.2574, https://digitalcommons.chapman.edu/cgi/viewcontent.cgi?article=1388&context=scs_articles

zbMATH Keywords

Wick productrandom systemswhite noise spacestate space equationssystems over commutative rings

Mathematics Subject Classification ID

Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) White noise theory (60H40) Stochastic systems in control theory (general) (93E03) Linear operators in reproducing-kernel Hilbert spaces (including de Branges, de Branges-Rovnyak, and other structured spaces) (47B32) Algebraic methods (93B25)

Abstract: We study 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.

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