Type II singular perturbation approximation for linear systems with Lévy noise
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Publication:4568060
DOI10.1137/17M113160XzbMATH Open1391.93024OpenAlexW2808648567MaRDI QIDQ4568060FDOQ4568060
Authors: Martin Redmann 
Publication date: 15 June 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m113160x
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Large-scale systems (93A15) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15) Matrix equations and identities (15A24)
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Cited In (18)
- Low-dimensional approximations of high-dimensional asset price models
- Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing
- Gramian-based model reduction for unstable stochastic systems
- Approximation and model order reduction for second order systems with Levy-noise
- Infinite-dimensional bilinear and stochastic balanced truncation with explicit error bounds
- Model order reduction for bilinear systems with non-zero initial states – different approaches with error bounds
- Full state approximation by Galerkin projection reduced order models for stochastic and bilinear systems
- Balanced model order reduction for linear random dynamical systems driven by Lévy noise
- Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
- Bilinear systems -- a new link to \(\mathcal{H}_2\)-norms, relations to stochastic systems, and further properties
- Model reduction for stochastic systems with nonlinear drift
- Energy estimates and model order reduction for stochastic bilinear systems
- A new type of singular perturbation approximation for stochastic bilinear systems
- Stability of stochastic functional differential systems with semi-Markovian switching and Lévy noise by functional Itô's formula and its applications
- Optimization based model order reduction for stochastic systems
- Singular perturbation approximation for linear systems with Lévy noise
- Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces
- Type II balanced truncation for deterministic bilinear control systems
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