This article is cited in 7 papers

Normalization of systems with stochastically unsolved derivatives

I. N. Sinitsyn

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

Abstract: For a system with stochastically unsolved derivatives, two approaches for reduction of such systems to deterministic systems are developed. The first approach is based on equations for mathematical expectations and covariance characteristics. The second approach considers equations for mathematical expectations and coordinate functions for canonical expansions. The theory of normal stochastic systems is the basis of the developed approaches. An illustrative example is given. Applications to estimation, identification, and calibration problems are considered. Some generalizations are mentioned.

Keywords: canonical expansion (CE), methods of analytical modeling (VFV), normalization by Pugachev, stochastic processes (StP), stochastic systems (StS), stochastic function system with stochastically unsolved derivatives.

Received: 22.03.2021

DOI: 10.14357/19922264220105