Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions

We solve the problem of output process analysis for nonlinear stochastic control systems with continuous time. The proposed method is based on a spectral form of mathematical description which provides a unified approach to solving linear operator equations. The techniques we have developed allow for reducing the problem of finding the state vector distribution density to solving a system of linear algebraic equations on the decomposition coefficients for the desired density into a series by the functions of a certain complete orthonormal system for both the case when no constraints are imposed on state vector coordinates and the case of problems with constraints.