Informatics and Applications
2024, Volume 18, Issue 3, pp 12-20
STATISTICAL MODELING OF DIFFERENTIAL STOCHASTIC SYSTEMS WITH UNSOLVED DERIVATIVES
Abstract
The paper is dedicated to statistical modeling methodological support for differential stochastic systems
with unsolved derivatives (StS USD). The basic results are: (i) two theorems concerning reduction of stochastic
functional-differential equations to stochastic Ito equations; (ii) Euler approximation method for stochastic
differential equations with Gaussian and Poisson noises; (iii) three theorems concerning numerical algorithms of
various accuracy for StS USD with smooth nonlinearities; and (i.) two algorithms for StS USD with nonsmooth
nonlinearities. Special attention is paid to methodological aspects of numerical statistical analysis of deterministic
and random components in the cases of weak and strong approximation. Directions for further research are given.
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[+] About this article
Title
STATISTICAL MODELING OF DIFFERENTIAL STOCHASTIC SYSTEMS WITH UNSOLVED DERIVATIVES
Journal
Informatics and Applications
2024, Volume 18, Issue 3, pp 12-20
Cover Date
2024-09-20
DOI
10.14357/19922264240302
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
analytical (probabilistic) modeling; methodological support; statistical modeling; stochastic systems (StS); StS with unsolved derivatives (StS USD)
Authors
I.N. Sinitsyn  , 
Author Affiliations
Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
Moscow State Aviation Institute (National Research University), 4 Volokolamskoe Shosse, Moscow 125933, Russian Federation
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