Type II Singular Perturbation Approximation for Linear Systems with Lévy Noise

DOI10.1137/17M113160XzbMath1391.93024OpenAlexW2808648567MaRDI QIDQ4568060

Martin Redmann

Publication date: 15 June 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m113160x

zbMATH Keywords

Lévy processstochastic systemsmodel order reductionsingular perturbation approximationgramians

Mathematics Subject Classification ID

Related Items (15)

Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces ⋮ Type II Balanced Truncation for Deterministic Bilinear Control Systems ⋮ Full state approximation by Galerkin projection reduced order models for stochastic and bilinear systems ⋮ Stability of stochastic functional differential systems with semi-Markovian switching and Lévy noise by functional Itô's formula and its applications ⋮ Infinite-dimensional bilinear and stochastic balanced truncation with explicit error bounds ⋮ Model order reduction for bilinear systems with non-zero initial states – different approaches with error bounds ⋮ Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing ⋮ Model reduction for stochastic systems with nonlinear drift ⋮ Energy estimates and model order reduction for stochastic bilinear systems ⋮ Optimization based model order reduction for stochastic systems ⋮ Low-Dimensional Approximations of High-Dimensional Asset Price Models ⋮ Bilinear Systems---A New Link to $\mathcal H_2$-norms, Relations to Stochastic Systems, and Further Properties ⋮ A new type of singular perturbation approximation for stochastic bilinear systems ⋮ Gramian-based model reduction for unstable stochastic systems ⋮ Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction

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