Modeling and analysis of output processes of linear continuous stochastic systems based on orthogonal expansions of random functions

DOI10.1134/S1064230720030156zbMATH Open1453.93227OpenAlexW3041195542MaRDI QIDQ786158FDOQ786158

Authors: K. A. Rybakov 

Publication date: 12 August 2020

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230720030156

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zbMATH Keywords

Dryden shaping filterlinear continuous stochastic systemsoutput processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15) Stochastic systems in control theory (general) (93E03)

Cites Work

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Cited In (6)

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• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

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