Stochastic Realization
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_7
To reference this document use:
https://resolver.tudelft.nl/uuid:86773441-7a94-4a09-9635-a604cb4d9fd8
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Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
231-292
ISBN (electronic)
978-3-030-66952-2
Abstract
Stochastic realization problems are presented for a tuple of Gaussian random variables, for a tuple of σ -algebras, for a σ -algebra family, and for a finite stochastic system. The solution of the weak and of the strong stochastic realization of a tuple of Gaussian random variables is provided. The main theoretical contribution is the description of the strong stochastic realization of a tuple of σ -algebras. This is followed by stochastic realization of a family of σ -algebras. Finally the stochastic realization problem for finite-valued output processes is discussed.
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