Dynamic systems with random structure: an approach to the generation of nonstationary stochastic processes

V. Kontorovich; V. Lyandres

doi:10.1016/S0016-0032(99)00011-3

Dynamic systems with random structure: an approach to the generation of nonstationary stochastic processes

V. Kontorovich
, V. Lyandres

Department of Electrical & Computer Engineering

Research output: Contribution to journal › Article › peer-review

13 Scopus citations

Abstract

The representation of nonstationary continuous-time, generally non-Gaussian processes with distinguishable states with the help of dynamic systems with random structure are considered. Switching of the partial subsystems is intended to be a Poisson point process and so the model has the Markov property and the generating system itself is described by a set of stochastic nonlinear differential equations. The statistical characteristics of the system output are analyzed.

Original language	English
Pages (from-to)	939-954
Number of pages	16
Journal	Journal of the Franklin Institute
Volume	336
Issue number	6
DOIs	https://doi.org/10.1016/S0016-0032(99)00011-3
State	Published - 1 Jan 1999

ASJC Scopus subject areas

Control and Systems Engineering
Signal Processing
Computer Networks and Communications
Applied Mathematics

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10.1016/S0016-0032(99)00011-3

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title = "Dynamic systems with random structure: an approach to the generation of nonstationary stochastic processes",

abstract = "The representation of nonstationary continuous-time, generally non-Gaussian processes with distinguishable states with the help of dynamic systems with random structure are considered. Switching of the partial subsystems is intended to be a Poisson point process and so the model has the Markov property and the generating system itself is described by a set of stochastic nonlinear differential equations. The statistical characteristics of the system output are analyzed.",

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N2 - The representation of nonstationary continuous-time, generally non-Gaussian processes with distinguishable states with the help of dynamic systems with random structure are considered. Switching of the partial subsystems is intended to be a Poisson point process and so the model has the Markov property and the generating system itself is described by a set of stochastic nonlinear differential equations. The statistical characteristics of the system output are analyzed.

AB - The representation of nonstationary continuous-time, generally non-Gaussian processes with distinguishable states with the help of dynamic systems with random structure are considered. Switching of the partial subsystems is intended to be a Poisson point process and so the model has the Markov property and the generating system itself is described by a set of stochastic nonlinear differential equations. The statistical characteristics of the system output are analyzed.

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U2 - 10.1016/S0016-0032(99)00011-3

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JO - Journal of the Franklin Institute

JF - Journal of the Franklin Institute

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Dynamic systems with random structure: an approach to the generation of nonstationary stochastic processes

Abstract

ASJC Scopus subject areas

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