scientific article; zbMATH DE number 7318961

MaRDI QIDQ4965792zbMATHFDO

Authors K. A. Rybakov

Publication date 10 March 2021

Full work available at URL https://diffjournal.spbu.ru/EN/numbers/2020.3/article.1.5.html

zbMATH Keywords

Ornstein-Uhlenbeck processWiener processBrownian motiongeometric Brownian motionmodelingBrownian bridgespectral methodrandom processlinear stochastic systemorthogonal expansionspectral form of mathematical descriptionanalysis of output processes

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 43502 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• scientific article; zbMATH DE number 7189588 (Why is no real title available?)
• Applying spectral form of mathematical description for representation of iterated stochastic integrals
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
• Modeling and analysis of output processes of linear continuous stochastic systems based on orthogonal expansions of random functions
• Numerical methods for stochastic partial differential equations with white noise
• Parametric design of optimal in average fractional-order PID controller in flight control problem

Cited in

(8)

• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Modeling and analysis of output processes of linear continuous stochastic systems based on orthogonal expansions of random functions
• Nonlinear stochastic dynamics of systems with random properties: A spectral approach combined with statistical linearization
• Synthesis of Itô equations for a shaping filter with a given spectrum
• An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Spectral analysis of stochastically sampled dynamic systems

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