Mathematical Control Theory

Spectral method for stochastic systems with discontinuous trajectories described by random mixture of erlang distributions

A. S. Kozhevnikov, K. A. Rybakov

Moscow aviation institute

Abstract: We consider stochastic control systems with impulses generated by hyper-Erlang flows of events leading to jumps in system trajectories. We employ the spectral form of mathematical description of the system to find the probability density function of its states.

Keywords: analysis problem, hyper-Erlang distribution, jump process, spectral method, stochastic system.

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