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On time-reversibility of linear stochastic models
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory. KTH, School of Engineering Sciences (SCI), Centres, Center for Industrial and Applied Mathematics, CIAM. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-2681-8383
2014 (English)In: IFAC Proceedings Volumes (IFAC-PapersOnline), IFAC Papers Online, 2014, 10403-10408 p.Conference paper (Refereed)
Abstract [en]

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 combining ideas from these two lines of development we present herein a general view and a simplified account of time-reversal in stochastic models.

Place, publisher, year, edition, pages
IFAC Papers Online, 2014. 10403-10408 p.
Keyword [en]
Stochastic realization theory, Time-reversal of stochastic models
National Category
URN: urn:nbn:se:kth:diva-175112ScopusID: 2-s2.0-84929832992ISBN: 9783902823625OAI: diva2:882145
19th IFAC World Congress on International Federation of Automatic Control, IFAC 2014, 24 August 2014 through 29 August 2014

QC 20151214

Available from: 2015-12-14 Created: 2015-10-09 Last updated: 2015-12-14Bibliographically approved

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Lindquist, Anders
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