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Портал Begell Электронная Бибилиотека e-Книги Журналы Справочники и Сборники статей Коллекции
Journal of Automation and Information Sciences
SJR: 0.238 SNIP: 0.464 CiteScore™: 0.27

ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337

Выпуски:
Том 51, 2019 Том 50, 2018 Том 49, 2017 Том 48, 2016 Том 47, 2015 Том 46, 2014 Том 45, 2013 Том 44, 2012 Том 43, 2011 Том 42, 2010 Том 41, 2009 Том 40, 2008 Том 39, 2007 Том 38, 2006 Том 37, 2005 Том 36, 2004 Том 35, 2003 Том 34, 2002 Том 33, 2001 Том 32, 2000 Том 31, 1999 Том 30, 1998 Том 29, 1997 Том 28, 1996

Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v31.i1-3.70
pages 47-61

Numerical Methods of Modeling Control Systems Described by Stochastic Differential Equations

Oleg Yu. Kulchitskiy
St.Petersburg State Technical University, Russia
Dmitriy F. Kuznetsov
St. Peterburg State Technical University, Russia

Краткое описание

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.


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