Sampled-Data H2 Signal Reconstruction Approach to Weak Approximation Problem for Levy Processes

• Kashima Kenji

  Graduate School of Information Science and Engineering, Tokyo Institute of Technology

Bibliographic Information

Other Title

• サンプル値Ｈ｀２´信号復元にもとづくレビー過程の弱近似
• サンプル値H[2]信号復元にもとづくレビー過程の弱近似
• サンプルチ H 2 シンゴウ フクゲン ニ モトズク レビー カテイ ノ ジャク キンジ

Abstract

In many application areas, Lévy processes, a generalization of the Wiener process, are widely used in order to suitably capture sudden shifts or discrete-value nature in stochastic dynamical systems. In this paper, we formulate a weighting function conversion problem for weak approximation of Lévy processes. This problem covers many practically important problems, and is shown to be equivalent to a sampled-data H² signal reconstruction problem. By virtue of a remarkable feature of Lévy processes, the main result provides a simple design procedure of suboptimal filters for this problem. <br>

Journal

• Transactions of the Institute of Systems, Control and Information Engineers

  Transactions of the Institute of Systems, Control and Information Engineers 24 (10), 241-249, 2011

  THE INSTITUTE OF SYSTEMS, CONTROL AND INFORMATION ENGINEERS (ISCIE)

Keywords

• Lévy processes
• weak approximation
• sampled-data control theory
• signal reconstruction
• probability density function.

Details

• CRID: 1390001205165794304
• NII Article ID: 10030146364
• NII Book ID: AN1013280X
• DOI: 10.5687/iscie.24.241
• ISSN: 2185811X
• ISSN: 13425668
• NDL BIB ID: 11269033
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I11269033
• Text Lang: ja
• Data Source:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Disallowed