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The correlation matrix of random solutions of a dynamical system with Markov coefficients

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Ukrainian Mathematical Journal Aims and scope

Abstract

For dynamical systems which are described by systems of differential or difference equations dependent on a finite-valued Markov process, we suggest a new form of equations for moments of their random solution. We derive equations for a correlation matrix of random solutions.

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References

  1. V. I. Tikhonov and M. A. Mironov,Markov Processes [in Russian], Sovetskoe Radio, Moscow (1977).

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  2. K. G. Valeev, and O. L. Strizhak, “Method of moment equations,” Preprint No. 467, Institute of Electrodynamics, Ukrainian Academy of Sciences, Kiev (1986).

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Authors
  1. A. L. Lapshin
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Additional information

Kiev Economic Institute, Kiev. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 3, pp. 338–348, March, 1999.

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Lapshin, A.L. The correlation matrix of random solutions of a dynamical system with Markov coefficients. Ukr Math J 51, 377–389 (1999). https://doi.org/10.1007/BF02592475

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  • DOI: https://doi.org/10.1007/BF02592475

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