Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions
Andrei V. Panteleev, К. А. Рыбаков · Automation and Remote Control · 2011
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.