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 language | English (US) |
|---|---|
| Title of host publication | 19th IFAC World Congress IFAC 2014, Proceedings |
| Editors | Edward Boje, Xiaohua Xia |
| Publisher | IFAC Secretariat |
| Pages | 10403-10408 |
| Number of pages | 6 |
| ISBN (Electronic) | 9783902823625 |
| DOIs | |
| State | Published - 2014 |
| Event | 19th IFAC World Congress on International Federation of Automatic Control, IFAC 2014 - Cape Town, South Africa Duration: Aug 24 2014 → Aug 29 2014 |
Publication series
| Name | IFAC Proceedings Volumes (IFAC-PapersOnline) |
|---|---|
| Volume | 19 |
| ISSN (Print) | 1474-6670 |
Other
| Other | 19th IFAC World Congress on International Federation of Automatic Control, IFAC 2014 |
|---|---|
| Country/Territory | South Africa |
| City | Cape Town |
| Period | 8/24/14 → 8/29/14 |
Bibliographical note
Funding Information:by grants from AFOSR, NSF, VR,
Publisher Copyright:
© IFAC.
Keywords
- Stochastic realization theory
- Time-reversal of stochastic models