Modeling and analysis of linear invariant stochastic systems

MaRDI QIDQ4568478zbMATH OpenFDO

Authors E. V. Karachanskaya, T. A. Averina, K. A. Rybakov

Publication date 21 June 2018

Full work available at URL http://www.math.spbu.ru/diffjournal/EN/numbers/2018.1/article.1.3.html

zbMATH Keywords

first integralinvariantnumerical methodrandom processstochastic differential equationstochastic system

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods for partial differential equations, boundary value problems (65N99)

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Cites work

• Approximate Integration of Stochastic Differential Equations
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Cited in

(8)

• Statistical analysis of diffusion systems with invariants
• Modeling and analysis of stochastic systems
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• Model of time-varying linear systems and Kolmogorov equations
• Linear Stochastic Systems

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