Русская версия
ISSN 1817-2172, рег. Эл. № ФС77-39410, ВАК

Differential Equations and Control Processes
(Differencialnie Uravnenia i Protsesy Upravlenia)

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Modeling Linear Nonstationary Stochastic Systems by Spectral Method

Author(s):

Konstantin Rybakov

Moscow Aviation Institute (National Research University)

rkoffice@mail.ru

Abstract:

The article considers the spectral method for modeling linear one-dimensional nonstationary stochastic systems described by linear stochastic differential equations with additive and multiplicative noise. This method is based on the representation of random processes by the orthogonal series with respect to arbitrary basis systems. The main attention is paid to the approbation of the proposed method, namely, modeling typical random processes that are output signals of linear stochastic systems: Wiener process (Brownian motion), Ornstein--Uhlenbeck process, Brownian bridge, and geometric Brownian motion.

Keywords

References:

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