Open AccessON A STOCHASTIC LINEAR DYNAMICAL SYSTEM DRIVEN BY A VOLTERRA PROCESS
Author(s) -
Tuong Manh Tran
Publication year - 2021
Publication title -
journal of computer science and cybernetics (vietnam academy of science and technology)/journal of computer science and cybernetics
Language(s) - English
Resource type - Journals
eISSN - 2815-5939
pISSN - 1813-9663
DOI - 10.15625/1813-9663/37/2/15340
Subject(s) - process (computing) , ornstein–uhlenbeck process , dynamical systems theory , mathematics , dynamical system (definition) , linear dynamical system , state (computer science) , volterra equations , statistical physics , computer science , stochastic process , mathematical optimization , control theory (sociology) , linear system , physics , mathematical analysis , nonlinear system , algorithm , artificial intelligence , statistics , control (management) , quantum mechanics , operating system
The aim of this note is considering a dynamical system expressed by a Langevin equation driven by a Volterra process. An Ornstein - Uhlenbeck process as the solution of this kind of equation is described and a problem of state estimation (filtering) for this dynamical system is investigated as well.