Geometric theory of linear stochastic systems

Researchers: Anders Lindquist, in cooperation with Giorgio Picci (University of Padova).

Sponsors: The Swedish Research Council (VR) 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 and will be finished shortly.