A Note on Detectability of Stochastic Systems with Application
Xiuying An, Weihai Zhang · 2006
This note has clarified the relation among stochastic detectability, exact detectability and complete detectability via some examples. It is shown that stochastic detectability implies both exact detectability and complete detectability, but the converse is not true. Applying exact detectability to the study of stochastic LQ optimal control, the previous results are improved.