An estimation approach for linear stochastic systems based on characteristic functions

Automatica ◽  
2017 ◽  
Vol 78 ◽  
pp. 153-162 ◽  
Author(s):  
Moshe Idan ◽  
Jason L. Speyer
Keyword(s):  
Stochastic Systems ◽  
Characteristic Functions ◽  
Linear Stochastic Systems

THE ASYMPTOTIC BEHAVIOR OF SEMI-INVARIANTS FOR LINEAR STOCHASTIC SYSTEMS

2002 ◽  
Vol 02 (02) ◽  
pp. 281-294
Author(s):  
G. N. MILSTEIN
Keyword(s):  
Asymptotic Behavior ◽  
Lyapunov Exponent ◽  
Linear System ◽  
Characteristic Function ◽  
Stochastic Systems ◽  
Random Variable ◽  
Characteristic Functions ◽  
Linear Stochastic Systems ◽  
Moment Lyapunov Exponent ◽  
The Moment

The asymptotic behavior of semi-invariants of the random variable ln |X(t,x)|, where X(t,x) is a solution of a linear system of stochastic differential equations, is connected with the moment Lyapunov exponent g(p). Namely, it is obtained that the nth semi-invariant is asymptotically proportional to the time t with the coefficient of proportionality g(n)(0). The proof is based on the concept of analytic characteristic functions. It is also shown that the asymptotic behavior of the analytic characteristic function of ln |X(t,x)| in a neighborhood of the origin of the complex plane is controlled by the extension g(iz) of g(p).

The stochastic observability for noisy non-linear stochastic systems†

1975 ◽  
Vol 22 (4) ◽  
pp. 461-480 ◽  
Author(s):  
YOSHIFUMI SUNAHARA ◽  
SHIN'ICHl AIHARA ◽  
MASAYUKI SHIRAIWA
Keyword(s):  
Stochastic Systems ◽  
Linear Stochastic Systems ◽  
Non Linear

scholarly journals Distributed Fusion Receding Horizon Filtering in Linear Stochastic Systems

2009 ◽  
Vol 2009 (1) ◽  
Author(s):  
IlYoung Song ◽  
DuYong Kim ◽  
YongHoon Kim ◽  
SukJae Lee ◽  
Vladimir Shin
Keyword(s):  
Stochastic Systems ◽  
Receding Horizon ◽  
Linear Stochastic Systems ◽  
Distributed Fusion
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