Elementary concepts and results of the theory of stochastic processes are summarized in this chapter. Concepts presented include a stochastic process, equivalent processes, a Gaussian process, stationarity, time-reversibility, and a Markov process. It is shown how to go from the definition of a Gauss–Markov process to a representation of such a process in the form of a state equation of a stochastic system. Advanced topics of the theory of stochastic processes are provided in Chapter 20.
|Title of host publication||Control and System Theory of Discrete-Time Stochastic Systems|
|Number of pages||23|
|Publication status||Published - 2021|
|Name||Communications and Control Engineering|
- Gaussian process
- Markov process
- Stochastic process