Geometric theory of linear stochastic systems

Researchers: Anders Lindquist, in cooperation with Giorgio Picci (University of Padova) and Gy. Michaletzky (Eötvös Lorand University, Budapest).

Sponsors: The Swedish Research Council for Engineering Sciences (TFR) and the Göran Gustafsson Foundation.

The objective of this project is to develop a comprehensive geometric theory for state-space modeling of stochastic processes within the coordinate-free framework of Markovian splitting subspaces and with emphasis on systems theoretical concepts, and to apply these results to problems in identification and model reduction. A theory for linear stochastic systems has been developed which describes structural systems-theoretic properties in the geometric language of Hilbert space theory. A monograph, jointly authored by Lindquist and Picci, is under preparation. Recent results include:


Research 1999/2000
Financial economics
Hybrid control of autonomous system
Last update: February 21, 2001 by Anders Forsgren, anders.forsgren@math.kth.se.