On time-reversibility of linear stochastic models
نویسندگان
چکیده
منابع مشابه
On time-reversibility of linear stochastic models
Reversal of the time direction in stochastic systems driven by white noise has been of central importance throughout the development of stochastic realization theory, filtering and smoothing. Similarly, in connection with certain problems in the theory of moments, the duality induced by time reversal was the key to deriving a compact parametrization and an interpretation of solutions. By combin...
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ژورنال
عنوان ژورنال: IFAC Proceedings Volumes
سال: 2014
ISSN: 1474-6670
DOI: 10.3182/20140824-6-za-1003.00029