This article is cited in 5 papers

Analytical modeling invariant measure distributions in stochastic systems with autocorrelated noises

I. N. Sinitsyn

Institute for Problems of Informatics of RAS

Abstract: For multidimensional nonlinear normal (Gaussian) differential systems with un- and autocorrelated noises, on the basis of normal approximation, the correlational algorithms for analytical modeling of stochastic regimes with invariant measure are considered. Special software tools in MATLAB are developed. Test examples confirm practical accuracy.

Keywords: analytical modeling; autocorrelated noise; correlational algorithm; distribution with invariant measure; multidimensional nonlinear differential stochastic system; normal approximation method.