Probability functional of a vector non-Gaussian Markov process and its communication application (Q5952963)

A vector process with an arbitrary probability density function is presented as a solution to a system of nonlinear stochastic differential equations. Such a generative approach provides an opportunity to describe the process explicitly with the help of its probability functional without having to solve the corresponding vector Fokker-Planck equation. Direct synthesis of an optimal signals' detection algorithm for communication channels with additive non-Gaussian correlated interference is considered as an example of the probability functional application.