Periodic Linear Differential Stochastic Processes
Huibert Kwakernaak · SIAM Journal on Control · 1975
Periodic linear differential processes are defined and their properties are analyzed. Equivalent representations are discussed, and the solutions of related optimal estimation problems are given. An extension is presented of Kailath and Geesey’s [1] results concerning the innovations representation of stochastic processes with a given covariance function.