文章基本信息

标题：Stochastic controllability of systems with multiple delays in control
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作者：Jerzy Klamka
期刊名称：International Journal of Applied Mathematics and Computer Science
电子版ISSN：2083-8492
出版年度：2009
卷号：19
期号：1
DOI：10.2478/v10006-009-0004-8
出版社：De Gruyter Open
摘要：This paper deals with nonlinear filtering problems with delays, i.e., we consider a system ( X , Y ), which can be represented by means of a system ( X , Ŷ ), in the sense that Y_t = Ŷ_a(t) , where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed trajectory. Various assumptions on the function a(t) are considered
关键词：nonlinear filtering; jump processes; diffusion processes; Markov processes; stochastic delay differential equation