Differential Equations and Control Processes
(Differencialnie Uravnenia i Protsesy Upravlenia)

Two Methods for Analysis of Stochastic Systems with Poisson Component

Author(s):

Tatyana Averina

Institute of Computational Mathematics and Mathematical Geophysics SB RAS
Novosibirsk state university,
Computational mathematics department

ata@osmf.sscc.ru

Konstantin A. Rybakov

Moscow aviation institute (national research university),
Mathematical cybernetics department, associate professor
associate professor, candidate of physico-mathematical sciences

rkoffice@mail.ru

Abstract:

We consider two methods for the analysis of stochastic systems with jumps generated by a Poisson flow of events: the method of statistical modeling and the spectral method. In the paper we describe algorithms for the analysis based on the method of statistical modeling and the spectral form for mathematical description of control systems. Comparison and effectiveness of these methods are demonstrated on different examples.

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