Abstract
The problem of extending state-feedback linearization methods of deterministic control theory to stochastic systems is addressed. For Stratonovitch stochastic differential equations with smooth vector fields, necessary and geffucient geometric conditions for local and global linearization by diffeomorphism and absolutely continuous change of probability law are obtained, using the interpretation of Girsanov transformations as state-feedback on Brownian motions. For stochastic systems with single-with single-input (or onde-dimensional Brownian motion) and single-output (or one-dimensional observation process), necessary and sufficient geometric conditions to transform the Duncan-Mortensen-Zakai (DMZ) equation of filtering into that of an affine prime system are obtained, as well as interpretation of gauge transformation as Girsanov change of probability law.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
