Spectral Method for Analysis of Diffusions and Jump Diffusions

Author:

Baghdasaryan Gevorg Y.ORCID,Mikilyan Marine A.ORCID,Panteleev Andrei V.ORCID,Rybakov Konstantin A.ORCID

Publisher

Springer Singapore

Reference28 articles.

1. Solodovnikov, V.V., Semenov, V.V., Peschel, M., Nedo, D.: Design of Control Systems on Digital Computers: Spectral and Interpolational Methods. Mashinostroenie, Moscow (in Russian), Verlag Technik, Berlin (in German) (1979)

2. Semenov, V.V., Sotskova, I.L.: The spectral method for solving Fokker–Planck–Kolmogorov equation for stochastic control system analysis. In: 2nd IFAC Symposium on Stochastic Control, pp. 503–508. Pergamon Press, Oxford (1987)

3. Rybakov, K.A., Sotskova, I.L.: Spectral method for analysis of switching diffusions. IEEE Trans. Autom. Control 52(7), 1320–1325 (2007)

4. Panteleev, A.V., Rybakov, K.A.: Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions. Autom. Remote Control 72(2), 393–404 (2011)

5. Rybin, V.V.: Modeling of Nonstationary Integer-Order and Fractional-Order Control Systems by Grid-Projection Spectral Method. MAI Publication, Moscow (in Russian) (2013)

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