White-Noise Representations in Stochastic Realization Theory

Borkar, VS (1993) White-Noise Representations in Stochastic Realization Theory. In: SIAM Journal on Control and Optimization, 31 (5). pp. 1093-1102.

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Abstract

It is proved that any random sequence can be exhibited as the output of a stochastic dynamical system driven by white noise. Further refinements are obtained for Markov, stationary, and ergodic sequences. This settles some open problems in stochastic realization theory posed by Willems and Van Schuppen [NATO ASI-AMS Seminar on Algebraic and Geometric Methods in Linear System Theory, Harvard University, Cambridge, MA, 1979].

Item Type:	Journal Article
Publication:	SIAM Journal on Control and Optimization
Publisher:	Society for Industrial and Applied Mathematics
Additional Information:	Copyright of this article belongs to Society for Industrial and Applied Mathematics.
Keywords:	White-noise representation;Stochastic realization theory; Stochastic dynamical systems;Ergodic decomposition of stationary processes;Extremal measures
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	01 Aug 2006
Last Modified:	27 Feb 2019 10:27
URI:	http://eprints.iisc.ac.in/id/eprint/7939

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