Abstract:
The analysis problem of switching diffusions is considered. This paper presents a new approach based on the spectral method formalism for solving generalized Fokker–Plan...Show MoreMetadata
Abstract:
The analysis problem of switching diffusions is considered. This paper presents a new approach based on the spectral method formalism for solving generalized Fokker–Planck equations. The proposed method allows to transform partial differential equations into the linear algebraic equations, and to arrive at a solution in an explicit form. The aspects of applications are discussed. A numerical example is given to illustrate the efficiency of the proposed method.
Published in: IEEE Transactions on Automatic Control ( Volume: 52, Issue: 7, July 2007)
Citations are not available for this document.
Cites in Papers - |
Cites in Papers - IEEE (2)
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1.
Tatiana Averina, Konstantin Rybakov, "Systems with regime switching on manifolds", 2018 14th International Conference "Stability and Oscillations of Nonlinear Control Systems" (Pyatnitskiy's Conference) (STAB), pp.1-3, 2018.
2.
Konstantin Rybakov, "Robust Duncan-Mortensen-Zakai equation for non-stationary stochastic systems", 2017 International Multi-Conference on Engineering, Computer and Information Sciences (SIBIRCON), pp.151-154, 2017.
Cites in Papers - Other Publishers (7)
1.
Konstantin A. Rybakov, "Using Spectral Form of Mathematical Description to Represent Iterated Stratonovich Stochastic Integrals", Applied Mathematics and Computational Mechanics for Smart Applications, vol.217, pp.287, 2021.
2.
Gevorg Y. Baghdasaryan, Marine A. Mikilyan, Andrei V. Panteleev, Konstantin A. Rybakov, Advances in Theory and Practice of Computational Mechanics, vol.173, pp.293, 2020.
3.
K. A. Rybakov, "Spectral method of analysis and optimal estimation in linear stochastic systems", International Journal of Modeling, Simulation, and Scientific Computing, pp.2050022, 2020.
4.
Lakhmi C. Jain, Margarita N. Favorskaya, Ilia S. Nikitin, Dmitry L. Reviznikov, "Advances in Computational Mechanics and Numerical Simulation", Advances in Theory and Practice of Computational Mechanics, vol.173, pp.1, 2020.
5.
Gevorg Baghdasaryan, Marine Mikilyan, Andrei Panteleev, Konstantin Rybakov, "Analysis of jump diffusion systems by spectral method", COMPUTATIONAL MECHANICS AND MODERN APPLIED SOFTWARE SYSTEMS (CMMASS’2019), vol.2181, pp.020030, 2019.
6.
Alexander Kojevnikov, Konstantin Rybakov, "Spectral method for analysis of stochastic systems with discontinuous trajectories described by alternation of the Erlangian distribution", Science and Education of the Bauman MSTU, vol.13, no.04, 2013.
7.
Alexander S. Kozhevnikov, Konstantin A. Rybakov, "Analysis of Nonlinear Stochastic Systems with Jumps Generated by Erlang Flow of Events", Open Journal of Applied Sciences, vol.03, no.01, pp.1, 2013.
