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Analytical modeling of invariant measure distributions in stochastic systems with discontinuous characteristics

I. N. Sinitsyn

IPI RAN

Abstract: Basedonnormalapproximationandstatisticallinearization, exactandapproximatealgorithmsfordistibutions with invariant measure analytical modeling in nongaussian stochastic systems (StS) with discontinuous characteristics are developed. Peculiarities in Poisson StS are considered. Test examples confirm the practical accuracy of algorithms.

Keywords: analytical modeling; autocorrelated noise; distribution with invariant measure; method of normal approximation; method of statistical linearization; Poisson stochastic system; Pugachev integrodifferential equations, stochastic regime; stochastic system in Ito sense.