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Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Imprimir: 1064-2315
ISSN En Línea: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v31.i4-5.260
pages 49-56

Analytical Synthesis of the Probabilistic Characteristics of One Class of Non-Markovian Processes

Sergey V. Sokolov
Rostov State University of Railway Transport (Russia)


Nowadays analytical methods for synthesis of probabilistic characteristics of random processes exist only for Markovian processes and are based on solution of the Fokker-Plank-Kolmogorov equation. The article presents an approach that allows us to solve such a problem for non-Markovian processes, which are described by approximated solutions of stochastic nonlinear integrated equations in general form. The basis for the method proposed is a representation of the integral equation by two-point boundary-value problem with its subsequent solution by the invariant embedding method.

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