Gaussian Stochastic Systems

Book chapter (2021)

Authors

J.H. van Schuppen Mathematical Physics -

Research Group

Mathematical Physics () (TU Delft)

Gaussian system Stochastic observability Stochastic system

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Published Date

2021

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Mathematical Physics

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.