Analysis of bilinear stochastic systems
Analysis of stochastic dynamical systems that involve multiplicative (bilinear) noise processes. After defining the systems of interest, consideration is given to the evolution of the moments of such systems, the question of stochastic stability, and estimation for bilinear stochastic systems. Both exact and approximate methods of analysis are introduced, and, in particular, the uses of Lie-theoretic concepts and harmonic analysis are discussed.
Willsky, A. S.↗