A vector process with an arbitrary probability density function is presented as the solution of a system of nonlinear stochastic differential equations. Such a generative approach provides an opportunity to describe the process explicitly with the help of its probability functional without having to solve the corresponding vector Fokker-Planck equation. Direct synthesis of an optimal signals' detection algorithm for communication channels with additive non-Gaussian correlated interference as an example of the probability functional application is considered.
- Markov vector processes
- Non-Gaussian random processes
- Probability functional