Linear stochastic state space theory in the white noise space setting Academic Article uri icon

abstract

  • We study linear stochastic state space equations within the white noise space setting. A commutative ring of power series in a countable number of variables plays an important role. Transfer functions are rational functions with coefficients in this commutative ring and are characterized in a number of ways. A major feature in our approach is the observation that key characteristics of a linear, time invariant, stochastic system are determined by the corresponding characteristics associated with the deterministic part of the system, namely, its average behavior.

publication date

  • January 1, 2010