Linear stochastic state space theory in the white noise space setting

DOI10.1137/090777116zbMATH Open1214.93102arXiv0911.2574OpenAlexW2007572523MaRDI QIDQ3083253FDOQ3083253

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)

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.

Full work available at URL: https://arxiv.org/abs/0911.2574

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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)

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• Linear stochastic systems: a white noise approach
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• On the characteristics of a class of Gaussian processes within the white noise space setting
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• Non-commutative stochastic distributions and applications to linear systems theory
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• Distribution spaces and a new construction of stochastic processes associated with the Grassmann algebra
• Spectral theory for Gaussian processes: reproducing kernels, boundaries, and \(\mathrm{L}^{2}\)-wavelet generators with fractional scales

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