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Journal of Automation and Information Sciences

Publicou 12 edições por ano

ISSN Imprimir: 1064-2315

ISSN On-line: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Numerical Methods of Modeling Control Systems Described by Stochastic Differential Equations

Volume 31, Edição 1-3, 1999, pp. 47-61
DOI: 10.1615/JAutomatInfScien.v31.i1-3.70
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RESUMO

The paper is concerned with the problem of numerical simulation of control systems described by stochastic differential equations. The paper consists of two parts. Some results from the theory of stochastic differential equations such as recursive Taylor-Ito-series expansion, the feature of replacement of the order of integration in repeated stochastic integrals, the method of numerical simulation of repeated stochastic integrals, etc. are presented in the first part. Construction of finite difference methods of numerical simulation of control systems described by stochastic differential equation is considered in the second part of the paper.

CITADO POR
  1. Demidova Anastasia V., Druzhinina Olga V., Masina Olga N., Petrov Alexey A., Synthesis and Computer Study of Population Dynamics Controlled Models Using Methods of Numerical Optimization, Stochastization and Machine Learning, Mathematics, 9, 24, 2021. Crossref

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