This article is cited in 2 papers

Method of interpolational analytical modeling of processes in stochastic systems

I. N. Sinitsyn

Institute of Informatics Problems, Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation

Abstract: Among known methods of stochastic processes (StP) analytical modeling in differential and integrodifferential 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.

Keywords: one dimensional characteristic functions (c.f.); one-dimensional probability density (p.d.); stochastic processes (StP); stochastic system (StS).

Received: 29.08.2017

DOI: 10.14357/19922264180107

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