Paper: On stochastic observability and controllability

Authors:
Han-Fu Chen
Affiliations:
Institute of Systems Science and Mathematical Sciences, Academia Sinica, Peking, China
Venue:
Automatica (Journal of IFAC)
Year:
1980

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Cited 2

Stochastic observability in network state estimation and control

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Brief Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems

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Abstract

New definitions of stochastic observability, detectability, controllability and reachability are proposed. For both continuous and discrete time linear systems easily verifiable necessary and sufficient conditions are obtained, which are compatible with the usual ones for the corresponding (degenerate) deterministic systems. Furthermore, for stochastically observable, linear systems explicit expressions for the LUMCE of the state at time t@?0, with no information of the initial state, are obtained.