Representation of the bilinear system output by multiple stochastic integrals

DOI10.1134/S0005117910060068zbMATH Open1218.93087OpenAlexW2087192732MaRDI QIDQ612072FDOQ612072

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

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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)

Cites Work

• Stochastic $H^\infty$
• An Overview of Stochastic Bilinear Control Processes
• Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
• Title not available (Why is that?)
• Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
• 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 problems of absolute stability

Cited In (1)

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