On time-reversibility of linear stochastic models

Tryphon T. Georgiou, Anders Lindquist

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Scopus citations

Abstract

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.

Original languageEnglish (US)
Title of host publication19th IFAC World Congress IFAC 2014, Proceedings
EditorsEdward Boje, Xiaohua Xia
PublisherIFAC Secretariat
Pages10403-10408
Number of pages6
ISBN (Electronic)9783902823625
DOIs
StatePublished - Jan 1 2014
Event19th IFAC World Congress on International Federation of Automatic Control, IFAC 2014 - Cape Town, South Africa
Duration: Aug 24 2014Aug 29 2014

Publication series

NameIFAC Proceedings Volumes (IFAC-PapersOnline)
Volume19
ISSN (Print)1474-6670

Other

Other19th IFAC World Congress on International Federation of Automatic Control, IFAC 2014
CountrySouth Africa
CityCape Town
Period8/24/148/29/14

Keywords

  • Stochastic realization theory
  • Time-reversal of stochastic models

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    Georgiou, T. T., & Lindquist, A. (2014). On time-reversibility of linear stochastic models. In E. Boje, & X. Xia (Eds.), 19th IFAC World Congress IFAC 2014, Proceedings (pp. 10403-10408). (IFAC Proceedings Volumes (IFAC-PapersOnline); Vol. 19). IFAC Secretariat. https://doi.org/10.3182/20140824-6-za-1003.00029