Gaussian Stochastic Systems
Book Chapter
(2021)
Author(s)
J.H. van Schuppen (TU Delft - Mathematical Physics)
Research Group
Mathematical Physics
DOI related publication
https://doi.org/10.1007/978-3-030-66952-2_4
To reference this document use:
https://resolver.tudelft.nl/uuid:1cc30f79-abd7-44a2-b224-eb73a7c27040
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Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
81-134
ISBN (electronic)
978-3-030-66952-2
Abstract
A stochastic system (without input) is a mathematical model of a dynamic phenomenon exhibiting uncertain signals. Such a system is mathematically characterized by the transition map from the current state to the joint probability distribution of the next state and the current output. Only Gaussian systems are treated in this chapter. Forward and backward Gaussian stochastic systems are defined and related. Stochastic observability and stochastic co-observability are defined and characterized.
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