Two Methods for Analysis of Stochastic Systems with Poisson Component
Author(s):
Tatyana Averina
Institute of Computational Mathematics and Mathematical Geophysics SB RAS
Novosibirsk state university,
Computational mathematics department
ata@osmf.sscc.ru
Konstantin A. Rybakov
Moscow aviation institute (national research university),
Mathematical cybernetics department, associate professor
associate professor, candidate of physico-mathematical sciences
rkoffice@mail.ru
Abstract:
We consider two methods for the analysis of stochastic systems with
jumps generated by a Poisson flow of events: the method of statistical
modeling and the spectral method. In the paper we describe
algorithms for the analysis based on the method of statistical modeling
and the spectral form for mathematical description of control systems.
Comparison and effectiveness of these methods are demonstrated on different examples.
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