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Stochastische Prozesse

In: Lineare Kontrolltheorie

Author

Listed:
  • Hans Wilhelm Knobloch

    (Universität Würzburg, Mathematisches Institut)

  • Huibert Kwakernaak

    (Twente University of Technology, Dept. of Applied Mathematics)

Abstract

Zusammenfassung Stochastische Prozesse sind mathematische Modelle für irregulär fluktuierende Eingangsgrößen eines Systems. Solche Eingangsgrößen repräsentieren Störungen, die auf ein physikalisches System einwirken und über deren zeitlichen Ablauf sich nur im statistischen Sinne Vorhersagen machen lassen. Wir wollen in diesem Abschnitt einige Begriffsbildungen und Aussagen aus der Theorie der stochastischen Prozesse besprechen, wobei wir aber auf strenge Beweise zugunsten von Plausibilitätsbetrachtungen weitgehend verzichten. Eine mathematisch fundierte Einführung in die Theorie der stochastischen Prozesse und Differentialgleichungen findet man in bekannten Lehrbüchern wie Wong (1971), Arnold (1974), Gikhman und Skorokhod (1960, 1971), Liptser und Shiryayev (1977), Doob (1953).

Suggested Citation

  • Hans Wilhelm Knobloch & Huibert Kwakernaak, 1985. "Stochastische Prozesse," Springer Books, in: Lineare Kontrolltheorie, chapter 8, pages 163-190, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-69884-2_8
    DOI: 10.1007/978-3-642-69884-2_8
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