WSEAS Transactions on Circuits and Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 19, 2020
On the Correlation Function of an Arbitrary Distributed Continuous Markov Process
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Abstract: Continuous Markov processes widely used as a tool for modeling random phenomena in numerous applications, can be defined as solutions of generally nonlinear stochastic differential equations (SDEs) with certain drift and diffusion coefficients which together governs the process’ probability density and correlation functions. Usually it is assumed that the diffusion coefficient does not depend on the process’ current value. Sometimes, in particular for presentation of non- Gaussian real processes this assumption becomes undesirable, leads generally to complexity of the correlation function estimation. We consider its analysis for the process with arbitrary pair of the drift and diffusion coefficients providing the given stationary probability distribution of the considered process.
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Keywords: Continuous Markov process, Stochastic differential equation, Fokker-Planck equation, Galerkin method
Pages: 105-110
DOI: 10.37394/23201.2020.19.12