Periodic Linear Differential Stochastic Processes

DOI10.1137/0313023zbMATH Open0293.93030OpenAlexW2009636809MaRDI QIDQ4045936FDOQ4045936

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

Cited In (7)

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

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