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Journal of Automation and Information Sciences

年間 12 号発行

ISSN 印刷: 1064-2315

ISSN オンライン: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

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

巻 31, 発行 4-5, 1999, pp. 49-56
DOI: 10.1615/JAutomatInfScien.v31.i4-5.260
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要約

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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