STOCHASTIZATION OF CLASSICAL MODELS WITH DYNAMICAL INVARIANTS

DOI10.25587/svfu.2020.35.60.005MaRDI QIDQ6197082

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Publication date: 16 March 2024

Published in: Журнал «Математические заметки СВФУ» (Search for Journal in Brave)

zbMATH Keywords

stochastic modelconstruction of Itô equationsinvariant of dynamical model

Mathematics Subject Classification ID

Ordinary differential equations (34-XX) Systems theory; control (93-XX)

Cites Work

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• Constructing the set of program controls with probability 1 for one class of stochastic systems
• Statistical analysis of diffusion systems with invariants
• Construction of programmed controls for a dynamic system based on the set of its first integrals
• Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
• The generalized Itô–Venttsel’ formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral
• MODELING OF THE PROGRAMMED CONTROL WITH PROBABILITY 1 FOR SOME FINANCIAL TASKS