Informatics and Applications
2018, Volume 12, Issue 1, pp 55-61
METHOD OF INTERPOLATIONAL ANALYTICAL MODELING OF PROCESSES IN STOCHASTIC SYSTEMS
Abstract
Among known methods of stochastic processes (StP) analytical modeling in differential and inte- grodifferential stochastic systems (StS) based on the direct numerical solution of equation for one-dimensional characteristic function (c.f.), it is necessary to distinguish interpolational S. V. Mal'chikov method. In this case, for c.f. interpolation, the Kotelnikov theorem was implemented. The paper contains the treatment of interpolational methods of StP analytical modeling for two classes of nonlinear non-Gaussian StS. Special attention in paid to sensitivity analysis. Test example for discontinuous nonlinearity confirms the method efficiency. Some generalizations are mentioned.
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[+] About this article
Title
METHOD OF INTERPOLATIONAL ANALYTICAL MODELING OF PROCESSES IN STOCHASTIC SYSTEMS
Journal
Informatics and Applications
2018, Volume 12, Issue 1, pp 55-61
Cover Date
2018-03-30
DOI
10.14357/19922264180107
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
one dimensional characteristic functions (c.f.); one-dimensional probability density (p.d.); stochastic processes (StP); stochastic system (StS)
Authors
I. N. Sinitsyn 
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
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