Representation of the bilinear system output by multiple stochastic integrals

DOI10.1134/S0005117910060068MaRDI QIDQ612072zbMATH OpenOpenAlexFDO

Authors M. E. Shaikin

Publication date 3 January 2011

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117910060068

zbMATH Keywords

Hermite polynomialsmultiple stochastic integralsbilinear equationscalar stochastic differential Ito equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 3658788 (Why is no real title available?)
• An Overview of Stochastic Bilinear Control Processes
• Bilinear systems with nilpotent Lie algebra: optimal finite-dimensional filtering of their state vector
• Integral representations of solutions for linear stochastic equations with multiplicative perturbances
• Stochastic $H^\infty$
• Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
• Stochastic problems of absolute stability
• Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise

Cited in

(1)

• scientific article; zbMATH DE number 176307 (Why is no real title available?)

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