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

DOI10.1134/S1064230720030156zbMath1453.93227OpenAlexW3041195542MaRDI QIDQ786158

Konstantin 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) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (6)

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Cites Work

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• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation

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