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

V. Kontorovich, V. Lyandres

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)939-954
Number of pages16
JournalJournal of the Franklin Institute
Volume336
Issue number6
DOIs
StatePublished - 1 Jan 1999

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