Mathematical Background

Abstract

This chapter presents

• ■ an overview of probability, random variables and stochastic processes,

• ■ filtering of stochastic processes with linear time-invariant, linear time-varying and, in particular, linear periodically time-varying transformations,

• ■ basic results from linear algebra about the eigenvalues and eigenvectors of a matrix and its transpose, positive definiteness, properties of a covariance matrix,

• ■ Floquet theory of a system of linear periodically time-varying differential equations,

• ■ overview of the theory of stochastic differential equations/systems.