Dragan, Vasile; Morozan, Toader Stochastic observability and applications. (English) Zbl 1060.93019 IMA J. Math. Control Inf. 21, No. 3, 323-344 (2004). Linear stochastic systems described by a state differential equation and an algebraic output equation are considered. The concept of stochastic observability is presented and discussed in detail. Next, using the theory of stochastic differential equations and deterministic algebraic methods, several conditions for stochastic observability are formulated and proved. The relation between stochastic observability and exponential stability in mean square sense are pointed out. The special case of stochastic observability for systems described by Itô differential equations is also considered. Finally, many applications of stochastic observability are discussed. Similar problems have been studied in the publication [T. Morozan, “Stochastic uniform observability and Riccati equations of stochastic control”, Rev. Roum. Math. Pures Appl. 38, No. 9, 771–781 (1993; Zbl 0810.93069)]. Reviewer: Jerzy Klamka (Gliwice) Cited in 1 ReviewCited in 7 Documents MSC: 93B07 Observability 93E03 Stochastic systems in control theory (general) 93E15 Stochastic stability in control theory 93C05 Linear systems in control theory 60J75 Jump processes (MSC2010) 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) Keywords:stochastic observability; linear systems; stochastic systems; Markovian jump; multiplicative noise; exponential stability; Itô differential equations PDF BibTeX XML Cite \textit{V. Dragan} and \textit{T. Morozan}, IMA J. Math. Control Inf. 21, No. 3, 323--344 (2004; Zbl 1060.93019) Full Text: DOI