Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions

Пантелеев, А. В.; Рыбаков, К. А.

doi:10.1134/s0005117911020159

Cited by 10 publications

(2 citation statements)

References 3 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…we obtain the known solution of analysis problem for the stochastic systems with continuous trajectories [5,6]: , , , n L L L …”

Section: Ojappsmentioning

confidence: 99%

See 1 more Smart Citation

Analysis of Nonlinear Stochastic Systems with Jumps Generated by Erlang Flow of Events

Kozhevnikov¹,

Рыбаков²

2013

OJAppS

View full text Add to dashboard Cite

In this paper we consider the stochastic systems with jumps (random impulses) generated by Erlang flow of events that lead to discontinuities in paths. These systems may be used in various applications such as a control of complex technical systems, financial mathematics, mathematical biology and medicine. We propose to use a spectral method formalism to the probabilistic analysis problem for the stochastic systems with jumps. This method allows to get a solution of the analysis problem in an explicit form.

show abstract

“…we obtain the known solution of analysis problem for the stochastic systems with continuous trajectories [5,6]: , , , n L L L …”

Section: Ojappsmentioning

confidence: 99%

“…The goal of this paper is to develop the spectral method [4][5][6] for a problem of the probabilistic analysis for jump-diffusion systems. The spectral method formalism has been used previously to the stochastic systems with jumps generated by Poisson flow of events.…”

Section: Introductionmentioning

confidence: 99%