Article ID: | iaor20112621 |
Volume: | 72 |
Issue: | 2 |
Start Page Number: | 393 |
End Page Number: | 404 |
Publication Date: | Feb 2011 |
Journal: | Automation and Remote Control |
Authors: | Panteleev V, Rybakov A |
Keywords: | stochastic processes, programming: linear |
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.