Informatics and Applications

2018, Volume 12, Issue 1, pp 55-61

METHOD OF INTERPOLATIONAL ANALYTICAL MODELING OF PROCESSES IN STOCHASTIC SYSTEMS

  • I. N. Sinitsyn

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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