A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems

DOI10.1016/J.NAHS.2009.07.008zbMath1201.93063arXiv0801.3725OpenAlexW1499565423MaRDI QIDQ988793

Julien Bect

Publication date: 19 August 2010

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.3725

zbMATH Keywords

Fokker-Planck equationMarkov processesstochastic hybrid systemsstochastic system with jumps

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Fokker-Planck equations (35Q84)

Related Items (5)

Spectral Bayesian estimation for general stochastic hybrid systems ⋮ A Fokker-Planck control framework for stochastic systems ⋮ A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation ⋮ Uncertainty Propagation for General Stochastic Hybrid Systems on Compact Lie Groups

Uses Software

• ToolboxLS

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