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

DOI10.1134/S1064230720030156MaRDI QIDQ786158zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 7039077 (Why is no real title available?)
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• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation

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(7)

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• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
• 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
• 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
• 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
• Synthesis of Itô equations for a shaping filter with a given spectrum

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