Geodesic
Calculation method of spectral-correlation characteristics of stochastic processes
Vestnik Samarskogo universiteta. Estestvennonaučnaâ seriâ, no. 6 (2010), pp. 139-145

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Calculation method of correlation function of stochastic process in the first order dynamical system with arbitrary sort potential of recovery force lying under action of periodic signal and white noise is offered in the article. Method is based on the decomposition of non-stationary Fokker–Plank equation solution in eigen functions of stationary operator and numerical solutions of matrix problem of eigen values and system of ordinary differential equations.
Keywords: non-linear stochastic system, correlation function, numerical analysis.
Mots-clés : Markovian process 
@article{VSGU_2010_6_a14,
     author = {V. V. Zaytcev},
     title = {Calculation method of spectral-correlation characteristics of stochastic processes},
     journal = {Vestnik Samarskogo universiteta. Estestvennonau\v{c}na\^a seri\^a},
     pages = {139--145},
     publisher = {mathdoc},
     number = {6},
     year = {2010},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VSGU_2010_6_a14/}
}
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V. V. Zaytcev. Calculation method of spectral-correlation characteristics of stochastic processes. Vestnik Samarskogo universiteta. Estestvennonaučnaâ seriâ, no. 6 (2010), pp. 139-145. http://geodesic.mathdoc.fr/item/VSGU_2010_6_a14/