Spectral Method for Analysis of Switching Diffusions

DOI10.1109/TAC.2007.900841MaRDI QIDQ5282188zbMATH OpenOpenAlexFDO

Authors I. L. Sotskova, K. A. Rybakov

Publication date 27 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2007.900841

Mathematics Subject Classification ID

Solutions to PDEs in closed form (35C05) Nonlinear parabolic equations (35K55) General topics in linear spectral theory for PDEs (35P05)

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Cited in

(3)

• Spectral methods for identifying scalar diffusions
• Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions
• On approximate representation of fractional Brownian motion

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